Cover
Cover - USD ($) | 12 Months Ended | ||
Dec. 31, 2020 | Feb. 19, 2021 | Jun. 30, 2020 | |
Entity Information [Line Items] | |||
Document Type | 10-K | ||
Document Annual Report | true | ||
Document Period End Date | Dec. 31, 2020 | ||
Current Fiscal Year End Date | --12-31 | ||
Document Transition Report | false | ||
Entity File Number | 001-34385 | ||
Entity Registrant Name | Invesco Mortgage Capital Inc. | ||
Entity Incorporation, State or Country Code | MD | ||
Entity Tax Identification Number | 26-2749336 | ||
Entity Address, Address Line One | 1555 Peachtree Street, N.E., Suite 1800 | ||
Entity Address, City or Town | Atlanta, | ||
Entity Address, State or Province | GA | ||
Entity Address, Postal Zip Code | 30309 | ||
City Area Code | 404 | ||
Local Phone Number | 892-0896 | ||
Entity Well-known Seasoned Issuer | Yes | ||
Entity Voluntary Filers | No | ||
Entity Current Reporting Status | Yes | ||
Entity Interactive Data Current | Yes | ||
Entity Filer Category | Large Accelerated Filer | ||
Entity Small Business | false | ||
Entity Emerging Growth Company | false | ||
Auditor Attestation Flag | true | ||
Entity Shell Company | false | ||
Entity Public Float | $ 678,164,356 | ||
Entity Common Stock, Shares Outstanding | 230,822,108 | ||
Documents Incorporated by Reference | Part III of this Form 10-K incorporates by reference certain information (solely to the extent explicitly indicated) from the registrant’s proxy statement for the 2021 Annual Meeting of Stockholders to be filed pursuant to Regulation 14A. | ||
Amendment Flag | false | ||
Document Fiscal Year Focus | 2020 | ||
Document Fiscal Period Focus | FY | ||
Entity Central Index Key | 0001437071 | ||
Common Stock | |||
Entity Information [Line Items] | |||
Title of 12(b) Security | Common Stock, par value $0.01 per share | ||
Trading Symbol | IVR | ||
Security Exchange Name | NYSE | ||
7.75% Series A Cumulative Redeemable Preferred Stock | |||
Entity Information [Line Items] | |||
Title of 12(b) Security | 7.75% Series A Cumulative Redeemable Preferred Stock | ||
Trading Symbol | IVRpA | ||
Security Exchange Name | NYSE | ||
7.75% Fixed-to-Floating Series B Cumulative Redeemable Preferred Stock | |||
Entity Information [Line Items] | |||
Title of 12(b) Security | 7.75% Fixed-to-Floating Series B Cumulative Redeemable Preferred Stock | ||
Trading Symbol | IVRpB | ||
Security Exchange Name | NYSE | ||
7.50% Fixed-to-Floating Series C Cumulative Redeemable Preferred Stock | |||
Entity Information [Line Items] | |||
Title of 12(b) Security | 7.50% Fixed-to-Floating Series C Cumulative Redeemable Preferred Stock | ||
Trading Symbol | IVRpC | ||
Security Exchange Name | NYSE |
CONSOLIDATED BALANCE SHEETS
CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
ASSETS | ||
Mortgage-backed and credit risk transfer securities, at fair value (including pledged securities of $7,614,935 and $21,132,742, respectively; net of allowance for credit losses of $1,768 as of December 31, 2020) | $ 8,172,182 | $ 21,771,786 |
Cash and cash equivalents | 148,011 | 172,507 |
Restricted cash | 244,573 | 116,995 |
Due from counterparties | 1,078 | 32,568 |
Investment related receivable | 15,840 | 67,976 |
Derivative assets | 10,004 | 18,533 |
Other assets (including pledged security of $44,654 as of December 31, 2019) | 41,163 | 166,180 |
Total assets | 8,632,851 | 22,346,545 |
Liabilities: | ||
Repurchase agreements | 7,228,699 | 17,532,303 |
Secured loans | 0 | 1,650,000 |
Derivative liabilities | 6,344 | 352 |
Dividends payable | 18,970 | 74,841 |
Investment related payable | 274 | 99,561 |
Accrued interest payable | 823 | 43,998 |
Collateral held payable | 3,546 | 170 |
Accounts payable and accrued expenses | 1,448 | 1,560 |
Due to affiliate | 5,589 | 11,861 |
Total liabilities | 7,265,693 | 19,414,646 |
Commitments and contingencies (See Note 15) | ||
Stockholders' equity: | ||
Common Stock, par value $0.01 per share; 450,000,000 shares authorized; 203,222,108 and 144,256,357 shares issued and outstanding, respectively | 2,032 | 1,443 |
Additional paid in capital | 3,387,552 | 2,892,652 |
Accumulated other comprehensive income | 58,605 | 288,963 |
Retained earnings (distributions in excess of earnings) | (2,644,355) | (814,483) |
Total stockholders’ equity | 1,367,158 | 2,931,899 |
Total liabilities and stockholders' equity | $ 8,632,851 | $ 22,346,545 |
Common stock, shares outstanding | 203,222,108 | 144,256,357 |
Series A Cumulative Redeemable Preferred Stock | ||
Stockholders' equity: | ||
Preferred Stock, par value $0.01 per share; 50,000,000 shares authorized: | $ 135,356 | $ 135,356 |
Series B Cumulative Redeemable Preferred Stock | ||
Stockholders' equity: | ||
Preferred Stock, par value $0.01 per share; 50,000,000 shares authorized: | 149,860 | 149,860 |
Series C Cumulative Redeemable Preferred Stock | ||
Stockholders' equity: | ||
Preferred Stock, par value $0.01 per share; 50,000,000 shares authorized: | $ 278,108 | $ 278,108 |
CONSOLIDATED BALANCE SHEETS (Pa
CONSOLIDATED BALANCE SHEETS (Parenthetical) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
MBS and GSE CRT pledged as collateral | $ 7,614,935 | $ 21,132,742 |
Allowance for credit losses | $ 1,768 | 0 |
Pledged Assets, Not Separately Reported, Other | $ 44,654 | |
Preferred Stock, par value (in usd per share) | $ 0.01 | $ 0.01 |
Preferred Stock, Shares Authorized | 50,000,000 | 50,000,000 |
Common stock, par value (in usd per share) | $ 0.01 | $ 0.01 |
Common stock, shares authorized | 450,000,000 | 450,000,000 |
Common stock, shares issued | 203,222,108 | 144,256,357 |
Common stock, shares outstanding | 203,222,108 | 144,256,357 |
Series A Cumulative Redeemable Preferred Stock | ||
Preferred Stock, dividend rate stated percentage | 7.75% | 7.75% |
Preferred Stock, shares issued | 5,600,000 | 5,600,000 |
Preferred Stock, shares outstanding | 5,600,000 | 5,600,000 |
Preferred Stock, aggregate liquidation preference | $ 140,000 | $ 140,000 |
Series B Cumulative Redeemable Preferred Stock | ||
Preferred Stock, dividend rate stated percentage | 7.75% | 7.75% |
Preferred Stock, shares issued | 6,200,000 | 6,200,000 |
Preferred Stock, shares outstanding | 6,200,000 | 6,200,000 |
Preferred Stock, aggregate liquidation preference | $ 155,000 | $ 155,000 |
Series C Cumulative Redeemable Preferred Stock | ||
Preferred Stock, dividend rate stated percentage | 7.50% | 7.50% |
Preferred Stock, shares issued | 11,500,000 | 11,500,000 |
Preferred Stock, shares outstanding | 11,500,000 | 11,500,000 |
Preferred Stock, aggregate liquidation preference | $ 287,500 | $ 287,500 |
CONSOLIDATED STATEMENTS OF OPER
CONSOLIDATED STATEMENTS OF OPERATIONS - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Interest income | |||
Mortgage-backed and credit risk transfer securities | $ 277,400 | $ 772,657 | $ 631,478 |
Commercial and other loans | 2,766 | 5,710 | 11,538 |
Total interest income | 280,166 | 778,367 | 643,016 |
Interest expense | |||
Repurchase agreements | 73,607 | 430,697 | 301,794 |
Secured loans | 8,655 | 41,623 | 35,453 |
Exchangeable senior notes | 0 | 0 | 1,621 |
Total interest expense | 82,262 | 472,320 | 338,868 |
Net interest income | 197,904 | 306,047 | 304,148 |
Other income (loss) | |||
Gain (loss) on investments, net | (961,938) | 624,466 | (327,700) |
Increase (decrease) in provision for credit losses | 1,768 | 0 | 0 |
Equity in earnings of unconsolidated ventures | 1,163 | 2,224 | 3,402 |
Gain (loss) on derivative instruments, net | (851,050) | (534,755) | (5,277) |
Realized and unrealized credit derivative income (loss), net | (35,312) | 8,343 | (151) |
Net gain (loss) on extinguishment of debt | 14,742 | 0 | (26) |
Other investment income (loss), net | 2,137 | 3,950 | 2,860 |
Total other income (loss) | (1,832,026) | 104,228 | (326,892) |
Expenses | |||
Management fee — related party | 29,367 | 38,173 | 40,722 |
General and administrative | 10,863 | 8,001 | 7,070 |
Total expenses | 40,230 | 46,174 | 47,792 |
Net income (loss) | (1,674,352) | 364,101 | (70,536) |
Net income attributable to non-controlling interest | 0 | 0 | 254 |
Net income (loss) attributable to Invesco Mortgage Capital Inc. | (1,674,352) | 364,101 | (70,790) |
Dividends to preferred stockholders | 44,426 | 44,426 | 44,426 |
Net income (loss) attributable to common stockholders | $ (1,718,778) | $ 319,675 | $ (115,216) |
Net income (loss) attributable to common stockholders | |||
Basic (in usd per share) | $ (9.89) | $ 2.42 | $ (1.03) |
Diluted (in usd per share) | $ (9.89) | $ 2.42 | $ (1.03) |
Weighted average number of shares of common stock: | |||
Basic (in shares) | 173,730,389 | 132,305,568 | 111,637,035 |
Diluted (in shares) | 173,730,389 | 132,317,853 | 111,637,035 |
CONSOLIDATED STATEMENTS OF COMP
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Statement of Comprehensive Income [Abstract] | |||
Net income (loss) | $ (1,674,352) | $ 364,101 | $ (70,536) |
Other comprehensive income (loss): | |||
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net | (223,416) | 83,965 | (210,424) |
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net | 13,940 | 9,072 | 193,162 |
Reclassification of unrealized loss on available-for-sale securities to (increase) decrease in provision for credit losses | 1,768 | 0 | 0 |
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense | (23,794) | (23,729) | (25,839) |
Currency translation adjustments on investment in unconsolidated venture | 1,144 | (1,158) | (447) |
Total other comprehensive income (loss) | (230,358) | 68,150 | (43,548) |
Comprehensive income (loss) | (1,904,710) | 432,251 | (114,084) |
Less: Comprehensive (income) loss attributable to non-controlling interest | 0 | 0 | 979 |
Less: Dividends to preferred stockholders | (44,426) | (44,426) | (44,426) |
Comprehensive income (loss) attributable to common stockholders | $ (1,949,136) | $ 387,825 | $ (157,531) |
CONSOLIDATED STATEMENTS OF EQUI
CONSOLIDATED STATEMENTS OF EQUITY - USD ($) $ in Thousands | Total | Cumulative Effect, Period of Adoption, Adjustment | Preferred StockSeries A Preferred Stock | Preferred StockSeries B Preferred Stock | Preferred StockSeries C Preferred Stock | Common Stock | Additional Paid in Capital | Accumulated Other Comprehensive Income (loss) | Retained earnings (Distributions in excess of earnings) | Retained earnings (Distributions in excess of earnings)Cumulative Effect, Period of Adoption, Adjustment | Total Stockholders’ Equity | Total Stockholders’ EquityCumulative Effect, Period of Adoption, Adjustment | Non- Controlling Interest |
Beginning balance (in shares) at Dec. 31, 2017 | 5,600,000 | 6,200,000 | 11,500,000 | 111,624,159 | |||||||||
Beginning balance at Dec. 31, 2017 | $ 2,656,878 | $ 135,356 | $ 149,860 | $ 278,108 | $ 1,116 | $ 2,384,356 | $ 261,029 | $ (579,334) | $ 2,630,491 | $ 26,387 | |||
Increase (Decrease) in Stockholders' Equity | |||||||||||||
Net income (loss) | (70,536) | (70,790) | (70,790) | 254 | |||||||||
Other comprehensive income (loss) | (43,548) | (42,315) | (42,315) | (1,233) | |||||||||
Repurchase of shares of common stock (in shares) | (75,100) | ||||||||||||
Repurchase of shares of common stock | (1,144) | $ (1) | (1,143) | (1,144) | |||||||||
Stocks awards (in shares) | 35,937 | ||||||||||||
Common stock dividends | (187,537) | (187,537) | (187,537) | ||||||||||
Common unit dividends | (1,796) | (1,796) | |||||||||||
Preferred stock dividends | (44,426) | (44,426) | (44,426) | ||||||||||
Amortization of equity-based compensation | 570 | 561 | 561 | 9 | |||||||||
Purchase of OP Units from non-controlling interest | (21,764) | (798) | 2,100 | 1,302 | (23,066) | ||||||||
Rebalancing of ownership percentage of non-controlling interest | 0 | 556 | (1) | 555 | (555) | ||||||||
Ending balance (in shares) at Dec. 31, 2018 | 5,600,000 | 6,200,000 | 11,500,000 | 111,584,996 | |||||||||
Ending balance at Dec. 31, 2018 | 2,286,697 | $ 135,356 | $ 149,860 | $ 278,108 | $ 1,115 | 2,383,532 | 220,813 | (882,087) | 2,286,697 | 0 | |||
Increase (Decrease) in Stockholders' Equity | |||||||||||||
Net income (loss) | 364,101 | 364,101 | 364,101 | ||||||||||
Other comprehensive income (loss) | 68,150 | 68,150 | 68,150 | ||||||||||
Stocks awards (in shares) | 31,101 | ||||||||||||
Common stock dividends | (252,071) | (252,071) | (252,071) | ||||||||||
Preferred stock dividends | (44,426) | (44,426) | (44,426) | ||||||||||
Amortization of equity-based compensation | 522 | 522 | 522 | ||||||||||
Proceeds from issuance of common stock, net of offering costs (in shares) | 32,640,260 | ||||||||||||
Proceeds from issuance of common stock, net of offering costs | $ 508,926 | $ 328 | 508,598 | 508,926 | |||||||||
Accounting Standards Update [Extensible List] | us-gaap:AccountingStandardsUpdate201613Member | ||||||||||||
Ending balance (in shares) at Dec. 31, 2019 | 5,600,000 | 6,200,000 | 11,500,000 | 144,256,357 | |||||||||
Ending balance at Dec. 31, 2019 | $ 2,931,899 | $ 342 | $ 135,356 | $ 149,860 | $ 278,108 | $ 1,443 | 2,892,652 | 288,963 | (814,483) | $ 342 | 2,931,899 | $ 342 | 0 |
Increase (Decrease) in Stockholders' Equity | |||||||||||||
Net income (loss) | (1,674,352) | (1,674,352) | (1,674,352) | ||||||||||
Other comprehensive income (loss) | (230,358) | (230,358) | (230,358) | ||||||||||
Stocks awards (in shares) | 77,500 | ||||||||||||
Stock awards | 1 | $ 1 | 1 | ||||||||||
Common stock dividends | (37,202) | $ 163 | 74,071 | (111,436) | (37,202) | ||||||||
Preferred stock dividends | (44,426) | (44,426) | (44,426) | ||||||||||
Amortization of equity-based compensation | 517 | 517 | 517 | ||||||||||
Proceeds from issuance of common stock, net of offering costs (in shares) | 42,549,740 | ||||||||||||
Proceeds from issuance of common stock, net of offering costs | 420,737 | $ 425 | 420,312 | 420,737 | |||||||||
Common stock dividends (in shares) | 16,338,511 | ||||||||||||
Ending balance (in shares) at Dec. 31, 2020 | 5,600,000 | 6,200,000 | 11,500,000 | 203,222,108 | |||||||||
Ending balance at Dec. 31, 2020 | $ 1,367,158 | $ 135,356 | $ 149,860 | $ 278,108 | $ 2,032 | $ 3,387,552 | $ 58,605 | $ (2,644,355) | $ 1,367,158 | $ 0 |
CONSOLIDATED STATEMENTS OF CASH
CONSOLIDATED STATEMENTS OF CASH FLOWS - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Cash Flows from Operating Activities | |||
Net income (loss) | $ (1,674,352) | $ 364,101 | $ (70,536) |
Adjustments to reconcile net income (loss) to net cash provided by operating activities: | |||
Amortization of mortgage-backed and credit risk transfer securities premiums and (discounts), net | 15,980 | 46,243 | 42,608 |
Realized and unrealized (gain) loss on derivative instruments, net | 859,097 | 570,595 | (14,738) |
Realized and unrealized (gain) loss on credit derivatives, net | 41,635 | 12,490 | 22,629 |
(Gain) loss on investments, net | 961,938 | (624,466) | 327,700 |
Increase (decrease) in provision for credit losses | 1,768 | 0 | 0 |
(Gain) loss from investments in unconsolidated ventures in excess of distributions received | 229 | (490) | 392 |
Other amortization | (23,276) | (23,207) | (25,184) |
Net (gain) loss on extinguishment of debt | (14,742) | 0 | 26 |
(Gain) loss on foreign currency transactions, net | 0 | 0 | 1,038 |
Changes in operating assets and liabilities: | |||
(Increase) decrease in operating assets | 51,645 | (8,096) | (155) |
Increase (decrease) in operating liabilities | (49,463) | 6,189 | 20,484 |
Net cash provided by operating activities | 170,459 | 343,359 | 304,264 |
Cash Flows from Investing Activities | |||
Purchase of mortgage-backed and credit risk transfer securities | (13,613,447) | (9,244,391) | (6,217,723) |
Distributions from (contributions to) investments in unconsolidated ventures, net | 6,505 | 1,346 | 1,121 |
Change in other assets | 40,846 | 10,327 | (51,017) |
Principal payments from mortgage-backed and credit risk transfer securities | 892,592 | 2,189,327 | 1,986,930 |
Proceeds from sale of mortgage-backed and credit risk transfer securities | 25,028,464 | 3,311,884 | 4,749,807 |
Payment on the sale of credit derivatives | (31,353) | 0 | 0 |
Settlement (termination) of futures, forwards, swaps, and TBAs, net | (844,577) | (597,077) | (2,830) |
Redemption of Federal Home Loan Bank of Indianapolis stock | 74,250 | 0 | 0 |
Net change in due from counterparties and collateral held payable on derivative instruments | 1,093 | (3,174) | (3,994) |
Principal payments from commercial loans held-for-investment | 136 | 7,527 | 160,934 |
Origination and advances of commercial loans, net of origination fees | 0 | 0 | (1,677) |
Net cash provided by (used in) investing activities | 11,554,509 | (4,324,231) | 621,551 |
Cash Flows from Financing Activities | |||
Proceeds from issuance of common stock | 420,737 | 509,075 | 0 |
Repurchase of common stock | 0 | 0 | (1,144) |
Principal repayments of secured loans | (1,650,000) | 0 | 0 |
Proceeds from repurchase agreements | 75,698,735 | 131,624,461 | 136,573,821 |
Principal repayments of repurchase agreements and related fees | (85,987,597) | (127,694,642) | (137,052,138) |
Extinguishment of exchangeable senior notes | 0 | 0 | (143,433) |
Net change in due from counterparties and collateral held payable on repurchase agreements | 33,773 | (32,557) | 0 |
Payments of deferred costs | (35) | (346) | (167) |
Purchase of Operating Partnership units from non-controlling interest | 0 | 0 | (21,764) |
Payments of dividends and distributions | (137,499) | (271,234) | (234,374) |
Net cash (used in) provided by financing activities | (11,621,886) | 4,134,757 | (879,199) |
Net change in cash, cash equivalents and restricted cash | 103,082 | 153,885 | 46,616 |
Cash, cash equivalents and restricted cash, beginning of period | 289,502 | 135,617 | 89,001 |
Cash, cash equivalents and restricted cash, end of period | 392,584 | 289,502 | 135,617 |
Supplement Disclosure of Cash Flow Information | |||
Interest paid | 149,230 | 489,661 | 344,422 |
Non-cash Investing and Financing Activities Information | |||
Net change in unrealized gain (loss) on mortgage-backed and credit risk transfer securities | (207,708) | 93,037 | (17,262) |
Dividends and distributions declared not paid | 18,970 | 74,841 | 49,578 |
Increase (decrease) in Agency CMBS purchase commitments | (99,557) | (32,530) | 132,087 |
Net change in investment related receivable (payable) excluding Agency CMBS purchase commitments | 266 | 5,724 | (2,999) |
Change in foreign currency translation adjustment on other investments | (1,144) | 1,158 | 447 |
Dividend paid in common stock | $ 74,234 | $ 0 | $ 0 |
Organization and Business Opera
Organization and Business Operations | 12 Months Ended |
Dec. 31, 2020 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization and Business Operations | Organization and Business Operations Invesco Mortgage Capital Inc. (the “Company”, “we”) is a Maryland corporation primarily focused on investing in, financing and managing mortgage-backed securities (“MBS”) and other mortgage-related assets. We have historically invested in: • Residential mortgage-backed securities (“RMBS”) that are guaranteed by a U.S. government agency such as the Government National Mortgage Association (“Ginnie Mae”), or a federally chartered corporation such as the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”) (collectively “Agency RMBS”); • Commercial mortgage-backed securities (“CMBS”) that are guaranteed by a U.S. government agency such as Ginnie Mae or a federally chartered corporation such as Fannie Mae or Freddie Mac (collectively “Agency CMBS”); • RMBS that are not guaranteed by a U.S. government agency or a federally chartered corporation (“non-Agency RMBS”); • CMBS that are not guaranteed by a U.S. government agency or a federally chartered corporation (“non-Agency CMBS”); • Credit risk transfer securities that are unsecured obligations issued by government-sponsored enterprises (“GSE CRT”); • Residential and commercial mortgage loans; and • Other real estate-related financing agreements. We conduct our business through IAS Operating Partnership L.P. (the “Operating Partnership”) and have one operating segment. We are externally managed and advised by Invesco Advisers, Inc. (our “Manager”), a registered investment adviser and an indirect, wholly-owned subsidiary of Invesco Ltd. (“Invesco”), a leading independent global investment management firm. We elected to be taxed as a real estate investment trust (“REIT”) for U.S. federal income tax purposes under the provisions of the Internal Revenue Code of 1986. To maintain our REIT qualification, we are generally required to distribute at least 90% of our REIT taxable income to our stockholders annually. We operate our business in a manner that permits our exclusion from the “Investment Company” definition under the Investment Company Act of 1940. |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 12 Months Ended |
Dec. 31, 2020 | |
Accounting Policies [Abstract] | |
Summary of Significant Accounting Policies | Summary of Significant Accounting Policies Basis of Presentation and Consolidation Our consolidated financial statements have been prepared in accordance with generally accepted accounting principles in the United States of America (“U.S. GAAP”) and consolidate the financial statements of the Company and our controlled subsidiaries. All significant intercompany transactions, balances, revenues and expenses are eliminated upon consolidation. In the opinion of management, the consolidated financial statements reflect all adjustments, consisting of normal recurring accruals, which are necessary for a fair statement of our financial condition and results of operations for the periods presented. Use of Estimates The preparation of consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in our consolidated financial statements and accompanying notes. Examples of estimates include, but are not limited to, estimates of the fair values of financial instruments, interest income on mortgage-backed and credit risk transfer securities and allowances for credit losses. Actual results may differ from those estimates. Translation of Foreign Currencies The functional currency of the Company and its subsidiaries is U.S. dollars. Transactions in foreign currencies are recorded at the rates of exchange prevailing on the date of the transactions. At each balance sheet date, monetary assets and liabilities that are denominated in foreign currencies are remeasured at the rates prevailing at the balance sheet date. Gains and losses arising on revaluation are included in other investment income (loss), net on the consolidated statements of operations. During the year ended December 31, 2018 we incurred foreign currency losses of $930,000 primarily related to the revaluation of a commercial loan investment denominated in Pound Sterling. This commercial loan was repaid by the borrower during 2018. Our reporting currency is U.S. dollars. Upon consolidation, the assets and liabilities of our investment in an unconsolidated venture whose functional currency is the Euro is translated to U.S. dollars using the period-end exchange rates. Equity accounts are translated at historical rates, except for the change in retained earnings during the year, which is the result of the income statement translation process. Revenue and expense accounts are translated using the weighted average exchange rate during the period. The cumulative translation adjustments associated with the investment in the unconsolidated venture are recorded in accumulated other comprehensive income (loss), a component of consolidated stockholders’ equity. We generally hedge interest rate and foreign currency exposure with derivative financial instruments. Refer to Note 8 - “Derivatives and Hedging Activities” for further information. Fair Value Measurements We report our MBS and GSE CRTs and derivative assets and liabilities at fair value as determined by an independent pricing service. We generally obtain one price per instrument from our primary pricing service. If the primary pricing service cannot provide a price, we will seek a value from other pricing services. The pricing service uses two types of valuation approaches to determine the valuation of our various mortgage-backed and credit risk transfer securities: a market approach, which uses observable prices and other relevant information that is generated by market transactions involving identical or comparable assets or liabilities; and an income approach, which uses valuation techniques to convert future amounts to a single, discounted present value amount. In instances where sufficient market activity may not exist, the pricing service may utilize proprietary valuation models that may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics to estimate relevant cash flows, which are then discounted to calculate the fair values. Observable inputs may include a combination of benchmark yields, executed trades, broker/dealer quotes, issuer spreads, bids, offers and benchmark securities. In addition, the valuation models utilized by pricing services may consider additional pool level information such as prepayment speeds, default frequencies and default severities, if applicable. We and the pricing service continuously monitor market indicators and economic events to determine whether they may have an impact on our valuations. The pricing service values interest rate swaps, U.S. Treasury futures (“futures”), currency forward contracts and to-be-announced securities (“TBAs”) under the market approach through the use of quoted prices available in an active market. Overrides of prices from pricing services are rare in the current market environment for the assets we hold. Examples of instances that would cause an override include if we recently traded the same security or there is an indication of market activity that would cause the pricing service price to no longer be indicative of fair value. In the rare instance where a price is adjusted, we have a control process to monitor the reason for such adjustment. To gain comfort that pricing service prices are representative of current market information, we compare the transaction prices of security purchases and sales to the valuation levels provided by the pricing services. Price differences exceeding pre-defined tolerance levels are identified and investigated and may be challenged. Trends are monitored over time and if there are indications that the valuations are not comparable to market activity, the pricing services are asked to provide detailed information regarding their methodology and inputs. Transparency tools are also available from the pricing services which help us understand data points and/or market inputs used for pricing securities. We also review daily price movements for interest rate swaps, futures, currency forward contracts and TBAs. Price movements exceeding pre-defined tolerance levels are investigated using an alternate price from another pricing service as well as available market information. Based on our findings, the primary pricing service may be challenged, or in rare cases, overridden with an alternate pricing source. In addition, we perform due diligence procedures on all pricing services on at least an annual basis. A questionnaire is sent to pricing services which requests information such as changes in methodologies, business recovery preparedness, internal controls and confirmation that evaluations are generated based on market data. Physical visits are also made to each pricing service's office. An independent pricing service values our commercial loan using a discounted cash flow analysis. The yield used in the discounted cash flow analysis is determined by comparing the features of the loan to the interest rates and terms required by lenders in the new loan origination market for similar loans and the yield required by investors acquiring mezzanine loans in the secondary market as well as a comparison of current market and collateral conditions to those present at origination. As described in Note 10 - “Fair Value of Financial Instruments,” we evaluate the source used to fair value our assets and liabilities and make a determination on its categorization within the fair value hierarchy. If the price of a security is obtained from quoted prices for identical instruments in active markets, the security is classified as a level 1 security. If the price of a security is obtained from quoted prices for similar instruments or model-derived valuations whose inputs are observable, the security is classified as a level 2 security. If the inputs appear to be unobservable, the security would be classified as a level 3 security. Transfers between levels, if any, are determined at the end of the reporting period. Mortgage-Backed and Credit Risk Transfer Securities We record our purchases of MBS and GSE CRTs on the trade date and report these securities at fair value as described above in the Fair Value Measurements section of this Note 2 to our consolidated financial statements. Although we generally intend to hold most MBS and GSE CRTs until maturity, we may sell any of these securities prior to maturity as part of our overall management of our investment portfolio. Approximately $8.1 billion (99%) of our MBS and GSE CRTs are accounted for under the fair value option as of December 31, 2020 (December 31, 2019: $17.4 billion or 80%). Under the fair value option, we recognize changes in fair value in our consolidated statements of operations as unrealized gains and losses. In our view, this election more appropriately reflects the results of our operations because MBS and GSE CRT fair value changes are accounted for in the same manner as fair value changes in our economic hedging instruments. We elected the fair value option for all MBS purchased on or after September 1, 2016, GSE CRTs purchased on or after August 24, 2015 and all RMBS interest-only securities. We classify the remaining balance of our MBS and GSE CRTs as available-for-sale ($116.9 million or 1% as of December 31, 2020; $4.4 billion or 20% as of December 31, 2019). Unrealized gains or losses on available-for-sale securities are recorded in accumulated other comprehensive income, a separate component of stockholders' equity, until sale or disposition of the investment. Upon sale or disposition, the cumulative gain or loss previously reported in stockholders' equity is recognized in income. Realized gains and losses from sales of MBS are determined based upon the specific identification method. GSE CRTs purchased before August 24, 2015 were reported at fair value but are accounted for as hybrid financial instruments consisting of a debt host contract and an embedded derivative. Unrealized gains or losses arising from changes in fair value of the debt host contract, excluding other-than-temporary impairment, were recognized in accumulated other comprehensive income until sale or disposition of the investment. Upon sale or disposition of the debt host contract, the cumulative gain or loss previously reported in stockholders’ equity was recognized in income. Realized and unrealized gains or losses arising from changes in fair value of the embedded derivative were recognized in realized and unrealized credit derivative income (loss), net in our consolidated statements of operations. We elect the fair value option for GSE CRTs purchased on or after August 24, 2015 due to the complexities associated with bifurcation of GSE CRTs into a debt host contract and an embedded derivative. Realized gains and losses from sales of GSE CRTs are determined based upon the specific identification method. Our interest income recognition policies for MBS and GSE CRTs are described below in the Interest Income Recognition section of this Note 2 to our consolidated financial statements. Allowances for Credit Losses on Available-for-Sale Securities We are not required to measure expected credit losses for situations in which historic credit loss information, adjusted for current conditions and reasonable and supportable forecasts, results in an expectation that nonpayment of the amortized cost basis is zero. We consider our Agency portfolio to have zero loss expectation because (i) there have been no historical credit losses, (ii) full and timely payment of principal and interest is guaranteed by the GSEs and (iii) the yields, while not risk free, generally trade based on prepayment and liquidity risk as opposed to credit risk. For non-Agency RMBS and non-Agency CMBS, we use a discounted cash flow method to estimate and recognize an allowance for credit losses. We calculate the allowance for credit losses as the difference between the investment's amortized cost basis and expected cash flows discounted at the effective interest rate used to recognize interest income on the investment. In developing an expectation of credit losses, we use internal models that analyze the loans underlying each investment and evaluate factors including, but not limited to, delinquency status, loan-to-value ratios, borrower credit scores, occupancy status and geographic concentration. We place reliance on these internal models in determining credit quality. We record an allowance for credit losses as a contra-asset on the consolidated balance sheets and a provision for credit losses in the consolidated statements of operations. Credit losses are accreted into earnings over time at the effective interest rate used to recognize interest income. Subsequent favorable or adverse changes in the amount of expected credit losses are recognized immediately in earnings. If the allowance for credit losses has been reduced to zero, we reflect the remaining favorable changes as a prospective adjustment to the effective interest rate of the investment. The allowance for credit losses is limited to the amount by which the investment’s amortized cost exceeds fair value. When the allowance for credit losses is limited, the effective interest rate used to recognize interest income and accrete credit losses is prospectively adjusted. We do not record an allowance for credit losses when an investment’s fair value exceeds its amortized cost. Recoveries of amounts previously written off relating to improvements in cash flows are recognized in earnings when received. We record provisions for credit losses, reductions in provisions for credit losses, accretion of credit losses, and recoveries of amounts previously written off within (increase) decrease in provision for credit losses in our consolidated statements of operations. When we determine that we intend to sell, or more likely than not will be required to sell, an available-for-sale security in an unrealized loss position before we recover its amortized cost, we write off any allowance for credit losses and write down the investment’s amortized cost to its fair value. We record the write off of the allowance for credit losses and write down of the available-for-sale security within gain (loss) on investments, net in our consolidated statements of operations. We present accrued interest receivable separately from our investment portfolio on our consolidated balance sheets. We do not estimate an allowance for credit losses on accrued interest receivable because we write off accrued interest receivable as a reduction to interest income if it is not received when due. Commercial Loans Held-For-Investment As of January 1, 2020, we report our one commercial loan at fair value as described in the Fair Value Measurements section of this Note 2 to the consolidated financial statements with changes in fair value reported within gain (loss) on investments, net in our consolidated statements of operations. Before January 1 2020, we carried commercial loans held-for-investment at amortized cost, net of any provision for loan losses. Interest Income Recognition Mortgage-Backed Securities Interest income on MBS is accrued based on the outstanding principal or notional balance of the securities and their contractual terms. Premiums or discounts are amortized or accreted into interest income over the life of the investment using the effective interest method. Interest income on our MBS where we may not recover substantially all of our initial investment is based on estimated future cash flows. We estimate future expected cash flows at the time of purchase and determine the effective interest rate based on these estimated cash flows and our purchase price. Over the life of the investments, we update these estimated future cash flows and compute a revised yield based on the current amortized cost of the investment, unless those changes are reflected in an allowance for credit losses. In situations where an allowance for credit losses is limited by the fair value of the investment, we compute the yield as the rate that equates expected future cash flows to the current fair value of the investment. In estimating these future cash flows, there are a number of assumptions that are subject to uncertainties and contingencies, including but not limited to the rate and timing of principal payments (prepayments, repurchases, defaults and liquidations), the pass through or coupon rate, and interest rate fluctuations. These uncertainties and contingencies are difficult to predict and are subject to future events that may impact our estimate and our interest income. Changes in our original or most recent cash flow projections may result in a prospective change in interest income recognized on these securities, or the amortized cost of these securities, including write-offs of amortized cost when certain amounts are deemed uncollectible. For non-Agency RMBS not of high credit quality, when actual cash flows vary from expected cash flows, the difference is recorded as an adjustment to the amortized cost of the security, unless those changes are reflected in an allowance for credit losses, and the security's yield is revised prospectively. For Agency RMBS and Agency CMBS that cannot be prepaid in such a way that we would not recover substantially all of our initial investment, interest income recognition is based on contractual cash flows. We do not estimate prepayments in applying the effective interest method. Credit Risk Transfer Securities Interest income on GSE CRTs purchased before August 24, 2015 was accrued based on the coupon rate of the debt host contract which reflected the credit risk of GSE unsecured senior debt with a similar maturity. Premiums or discounts associated with the purchase of GSE CRTs were amortized or accreted into interest income over the life of the debt host contract using the effective interest method. The difference between the coupon rate on the hybrid instrument and the coupon rate on the debt host contract was considered premium income associated with the embedded derivative and was recorded in realized and unrealized credit derivative income (loss), net in our consolidated statements of operations. Interest income on GSE CRTs purchased on or after August 24, 2015 is based on estimated future cash flows. Commercial and Other Loans We recognize interest income from commercial and other loans when earned and deemed collectible, or until a loan becomes past due based on the terms of the loan agreement. Any related origination fees or costs on commercial and others loans for which we have elected the fair value option are recognized immediately in earnings. Before our decision to elect the fair value option for commercial and other loans, any related origination fees, net of origination cost were amortized into interest income using the effective interest method over the life of the loan. Interest received after a loan becomes past due or impaired is used to reduce the outstanding loan principal balance. When a delinquent loan previously placed on nonaccrual status has cured, meaning all delinquent principal and interest have been remitted by the borrower, the loan is placed back on accrual status. Alternately, loans that have been individually impaired may be placed back on accrual status if restructured and after the loan is considered re-performing. A restructured loan is considered re-performing when the loan has been current for at least 12 months. Cash and Cash Equivalents We consider all highly liquid investments that have original or remaining maturity dates of three months or less when purchased to be cash equivalents. At December 31, 2020, we had cash and cash equivalents in excess of the FDIC deposit insurance limit of $250,000 per institution. We mitigate our risk of loss by actively monitoring our counterparties. Restricted Cash Restricted cash represents cash posted with counterparties as collateral for various derivative instruments. Cash posted with counterparties as collateral is not available for general corporate purposes. As of December 31, 2019, restricted cash also included cash posted with the Federal Home Loan Bank of Indianapolis ("FHLBI"). During the year ended December 31, 2020, we fully repaid our outstanding secured loans from the FHLBI and terminated our membership. Due from Counterparties / Collateral Held Payable Due from counterparties represents cash posted with our counterparties as collateral for our derivatives and repurchase agreements. Collateral held payable represents cash posted with us by counterparties as collateral under our derivatives and repurchase agreements. To the extent we receive collateral other than cash from our counterparties, such assets are not included in our consolidated balance sheets. Notwithstanding the foregoing, if we either sell such assets or pledge the assets as collateral pursuant to a repurchase agreement, the cash received and the corresponding liability is reflected on the consolidated balance sheets. Investment Related Receivable / Investment Related Payable Investment related receivable consists of receivables for mortgage-backed and credit risk transfer securities that we have sold but have not settled with the buyer and accrued interest and principal paydowns on mortgage-backed and credit risk transfer securities. Accrued interest receivable was $15.6 million and $67.6 million as of December 31, 2020 and 2019, respectively. Investment related payable consists of liabilities for mortgage-backed and credit risk transfer securities that we have purchased but have not settled with the seller. Investments in Unconsolidated Ventures Our non-controlling investments in unconsolidated ventures are included in other assets in our consolidated balance sheets and are accounted for under the equity method. Capital contributions, distributions, profits and losses of the entities are allocated in accordance with the terms of the entities’ operating agreements. Such allocations may differ from the stated percentage interests, if any, as a result of preferred returns and allocation formulas as described in the entities' operating agreements. Repurchase Agreements We finance our purchases of mortgage-backed and credit risk transfer securities primarily through the use of repurchase agreements. Repurchase agreements are treated as collateralized financing transactions and are carried at their contractual amounts, including accrued interest, as specified in the respective agreements. We record the mortgage-backed and credit risk transfer securities and the related repurchase agreement financing on a gross basis in our consolidated balance sheets, and the corresponding interest income and interest expense on a gross basis in our consolidated statements of operations. Secured Loans Our wholly-owned subsidiary, IAS Services LLC, was a member of the FHLBI. As a member of the FHLBI, IAS Services LLC borrowed funds from the FHLBI in the form of secured advances. FHLBI advances were treated as secured financing transactions and carried at their contractual amounts. IAS Services LLC was dissolved in December 2020. Dividends Payable Dividends payable represent dividends declared at the balance sheet date which are payable to common stockholders and preferred stockholders. Earnings (Loss) per Share We calculate basic earnings (loss) per share by dividing net income (loss) attributable to common stockholders for the period by the weighted-average number of shares of our common stock outstanding for that period. Diluted earnings per share takes into account the effect of dilutive instruments, such as Operating Partnership Units (“OP Units”), exchangeable senior notes, and unvested restricted stock awards and uses the average share price for the period in determining the number of incremental shares that are to be added to the weighted-average number of shares outstanding. Share-Based Compensation Under the terms of our 2009 Equity Incentive Plan (the “Incentive Plan”), our independent directors are eligible to receive quarterly stock awards as part of their compensation for serving as directors, In addition, we may compensate the officers and employees of our Manager and its affiliates under the Incentive Plan under the terms of our management agreement. Share-based compensation arrangements may include share options, restricted and non-restricted share awards, performance-based awards and share appreciation rights. Compensation related to stock awards is recognized in the consolidated financial statements based on the fair value of the equity or liability instruments issued on the date of grant. Underwriting Commissions and Offering Costs Underwriting commissions and direct costs incurred in connection with our common and preferred stock offerings are recorded as a reduction of additional paid-in-capital and preferred stock, respectively. Comprehensive Income Our comprehensive income consists of net income, as presented in the consolidated statements of operations, adjusted for unrealized gains and losses on MBS purchased before September 1, 2016 and the debt host contract associated with GSE CRTs purchased before August 24, 2015; reclassification of unrealized losses on available-for-sale securities to (increase) decrease in provision for credit losses; reclassification of amortization of net deferred gains and losses on de-designated interest rate swaps to repurchase agreements interest expense and currency translation adjustments on an investment in an unconsolidated venture. Unrealized gains and losses on our MBS purchased before September 1, 2016 and the debt host contract associated with GSE CRTs purchased before August 24, 2015 were reclassified into net income upon their sale. Accounting for Derivative Financial Instruments We record all derivatives on our consolidated balance sheets at fair value. At the inception of a derivative contract, we determine whether the instrument will be part of a qualifying hedge accounting relationship or whether we will account for the contract as a trading instrument. We have elected not to apply hedge accounting to all new derivative contracts entered into after January 1, 2014. Changes in the fair value of our derivatives are recorded in gain (loss) on derivative instruments, net in our consolidated statements of operations. Net interest paid or received under our interest rate swaps is also recognized in gain (loss) on derivative instruments, net in our consolidated statements of operations. Before 2014, we applied hedge accounting to our interest rate swap agreements. Effective December 31, 2013, we voluntarily discontinued hedge accounting for our interest rate swap agreements by de-designating the interest rate swaps as cash flow hedges. As long as we expect the forecasted transactions that were being hedged (i.e., rollovers of our repurchase agreement borrowings) to still occur, the balance recorded in accumulated other comprehensive income (loss) (“AOCI”) from the interest rate swap activity through December 31, 2013 will remain in AOCI and be recognized in our consolidated statements of operations as interest expense over the remaining term of the interest rate swaps. Prior to December 31, 2020, we were a party to hybrid financial instruments that contained embedded derivative instruments and for which we did not elect the fair value option. We assessed at inception whether the economic characteristics of the embedded derivative instruments were clearly and closely related to the economic characteristics of the remaining component of the financial instrument (i.e., the debt host contract), whether the financial instrument was remeasured to fair value through earnings and whether a separate instrument with the same terms as the embedded instrument would meet the definition of a derivative instrument. When it was determined that (1) the embedded instrument possessed economic characteristics that were not clearly and closely related to the economic characteristics of the debt host contract, (2) the financial instrument was not remeasured to fair value through earnings and (3) a separate instrument with the same terms would qualify as a derivative instrument, the embedded instrument qualified as an embedded derivative that was separated from the debt host contract. The embedded derivative was recorded at fair value, and changes in fair value were recorded in realized and unrealized credit derivative income (loss), net in our consolidated statements of operations. We evaluate the terms and conditions of our holdings of futures contracts, currency forward contracts and TBAs to determine if an instrument has the characteristics of an investment or should be considered a derivative under U.S. GAAP. Accordingly, futures contracts, currency forward contracts and TBAs having the characteristics of derivatives are accounted for at fair value with such changes recognized in gain (loss) on derivative instruments, net in the consolidated statements of operations. The fair value of these futures contracts, currency forward contracts and TBAs is included in derivative assets or derivative liabilities on the consolidated balance sheets. Income Taxes We elected to be taxed as a REIT commencing with our taxable year ended December 31, 2009. Accordingly, we will generally not be subject to U.S. federal and applicable state and local corporate income tax to the extent that we make qualifying distributions to our stockholders, and provided we satisfy on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income, distribution and stock ownership tests. If we fail to qualify as a REIT and do not qualify for certain statutory relief provisions, we will be subject to U.S. federal, state and local income taxes and may be precluded from qualifying as a REIT for the four taxable years following the year in which we lost our REIT qualification. Accordingly, our failure to qualify as a REIT could have a material adverse impact on our results of operations and amounts available for distribution to stockholders. Our dividends paid deduction for qualifying dividends to our stockholders is computed using our REIT taxable income as opposed to net income reported on the consolidated financial statements. REIT taxable income will generally differ from net income because the determination of REIT taxable income is based on tax regulations and not financial accounting principles. We have elected to treat two of our subsidiaries as taxable REIT subsidiaries (“TRSs”). In general, TRSs may hold assets and engage in activities that we cannot hold or engage in directly and generally may engage in any real estate or non-real estate-related business. TRSs are subject to U.S. federal, state and local corporate income taxes. Our TRSs did not generate material taxable income for the years ended December 31, 2020, 2019 and 2018. We do not have any accruals for uncertain tax positions. We would recognize interest and penalties related to uncertain tax positions, if any, as income tax expense, which would be included in general and administrative expenses. Reclassifications Certain prior period reported amounts have been reclassified to be consistent with the current presentation. Such reclassifications had no impact on total assets, net income or equity attributable to common stockholders. Accounting Pronouncements Recently Adopted On January 1, 2020, we adopted the accounting guidance that changes how entities report credit losses for assets measured at amortized cost and available-for-sale securities. The new guidance significantly changes how entities measure credit losses for most financial assets, including loans, that are not measured at fair value through net income. The guidance replaces the existing “incurred loss” model with an “expected loss” model for instruments measured at amortized cost and requires entities to record credit allowances for available-for-sale debt securities rather than reduce the carrying amount, as they previously did under the other-than-temporary impairment model. The new guidance also simplifies the accounting model for purchased credit-impaired debt securities and loans and requires that entities record an adjustment to retained earnings on January 1, 2020 for the cumulative effect of adopting the new guidance. We were not required to record a cumulative effect adjustment to retained earnings because all of our purchased credit-impaired securities were in an unrealized gain position as of the implementation date. The new guidance specifically excludes available-for-sale securities |
Variable Interest Entities ("VI
Variable Interest Entities ("VIEs") | 12 Months Ended |
Dec. 31, 2020 | |
Variable Interest Entity Disclosure [Abstract] | |
Variable Interest Entities (VIEs) | Variable Interest Entities (“VIEs”) Our maximum risk of loss in VIEs in which we are not the primary beneficiary at December 31, 2020 is presented in the table below. $ in thousands Carrying Company's Maximum Risk of Loss Non-Agency CMBS 109,583 109,583 Non-Agency RMBS 11,733 11,733 Investments in unconsolidated ventures 16,408 16,408 Total 137,724 137,724 Refer to Note 4 - “Mortgage-Backed and Credit Risk Transfer Securities” and Note 5 - “Other Assets” for additional details regarding these investments. |
Mortgage-Backed and Credit Risk
Mortgage-Backed and Credit Risk Transfer Securities | 12 Months Ended |
Dec. 31, 2020 | |
Investments, Debt and Equity Securities [Abstract] | |
Mortgage-Backed and Credit Risk Transfer Securities | Mortgage-Backed and Credit Risk Transfer Securities During the first half of 2020, we experienced unprecedented market conditions as a result of the COVID-19 pandemic and sold a substantial portion of our MBS and GSE CRT portfolio to generate liquidity and reduce leverage. We resumed investing in Agency RMBS in July 2020. The following tables summarize our MBS and GSE CRT portfolio by asset type at December 31, 2020 and 2019. December 31, 2020 $ in thousands Principal/ Notional Unamortized Amortized Allowance for Credit Losses Unrealized Fair Period- (1) Agency RMBS: 30 year fixed-rate 7,635,107 391,644 8,026,751 — 24,115 8,050,866 1.86 % Total Agency RMBS pass-through 7,635,107 391,644 8,026,751 — 24,115 8,050,866 1.86 % Agency-CMO (2) 19,634 (19,634) — — — — — % Non-Agency CMBS 112,549 (5,791) 106,758 (1,768) 4,593 109,583 9.40 % Non-Agency RMBS (3)(4)(5) 790,627 (779,660) 10,967 — 766 11,733 7.83 % Total 8,557,917 (413,441) 8,144,476 (1,768) 29,474 8,172,182 1.97 % (1) Period-end weighted average yield is based on amortized cost as of December 31, 2020 and incorporates future prepayment and loss assumptions. (2) All Agency collateralized mortgage obligation (“Agency-CMO”) are interest-only securities (“Agency IO”). (3) Non-Agency RMBS is 31.8% variable rate, 67.3% fixed rate and 0.9% floating rate based on fair value. Coupon payments on variable rate investments are based upon changes in the underlying Hybrid adjustable-rate mortgage ("ARM") loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index. (4) Of the total discount in non-Agency RMBS, $2.1 million is non-accretable calculated using the principal/notional balance and based on estimated future cash flows of the securities. (5) Non-Agency RMBS includes interest-only securities ("non-Agency IO”) which represent 98.8% of principal/notional balance, 49.3% of amortized cost and 41.5% of fair value. December 31, 2019 $ in thousands Principal/ Notional Unamortized Amortized Unrealized Fair Value Period- end Weighted Average Yield (1) Agency RMBS: 15 year fixed-rate 280,426 1,666 282,092 10,322 292,414 3.34 % 30 year fixed-rate 9,911,339 308,427 10,219,766 304,454 10,524,220 3.62 % Hybrid ARM 55,024 602 55,626 1,267 56,893 3.46 % Total Agency RMBS pass-through 10,246,789 310,695 10,557,484 316,043 10,873,527 3.61 % Agency-CMO (2) 883,122 (467,840) 415,282 12,230 427,512 3.54 % Agency CMBS (3) 4,561,276 75,299 4,636,575 131,355 4,767,930 3.01 % Non-Agency CMBS (4) 4,464,525 (772,295) 3,692,230 131,244 3,823,474 5.16 % Non-Agency RMBS (5)(6)(7) 2,340,119 (1,487,603) 852,516 103,155 955,671 6.98 % GSE CRT (8) 858,244 19,945 878,189 45,483 923,672 2.78 % Total 23,354,075 (2,321,799) 21,032,276 739,510 21,771,786 3.85 % (1) Period-end weighted average yield is based on amortized cost as of December 31, 2019 and incorporates future prepayment and loss assumptions. (2) Agency-CMO includes Agency IO which represent 56.3% of principal/notional balance, 6.4% of amortized cost and 6.4% of fair value. (3) Includes Agency CMBS purchase commitments with a fair value of approximately $96.2 million. (4) Non-Agency CMBS includes interest-only securities which represent 13.1% of principal/notional balance, 0.3% of amortized cost and 0.3% of fair value. (5) Non-Agency RMBS is 37.0% variable rate, 57.7% fixed rate and 5.3% floating rate based on fair value. Coupon payments on variable rate investments are based upon changes in the underlying Hybrid ARM loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index. (6) Of the total discount in non-Agency RMBS, $120.2 million is non-accretable calculated using the principal/notional balance and based on estimated future cash flows of the securities. (7) Non-Agency RMBS includes non-Agency IO which represent 56.2% of principal/notional balance, 1.9% of amortized cost and 1.3% of fair value. (8) GSE CRT weighted average yield excludes coupon interest associated with embedded derivatives not accounted for under the fair value option that is recorded as realized and unrealized credit derivative income (loss), net. The following table presents the fair value of our available-for-sale securities and securities accounted for under the fair value option by asset type as of December 31, 2020 and December 31, 2019. We have elected the fair value option for all of our RMBS interest-only securities, our MBS purchased on or after September 1, 2016 and our GSE CRTs purchased on or after August 24, 2015. As of December 31, 2020 and December 31, 2019, approximately 99% and 80%, respectively, of our MBS and GSE CRTs are accounted for under the fair value option. Our percentage of MBS and GSE CRTs accounted for under the fair value option increased as of December 31, 2020 due to a change in portfolio composition. During the first half of 2020, we sold MBS and GSE CRTs previously accounted for as available-for-sale securities to generate liquidity and reduce leverage given unprecedented market conditions as a result of the COVID-19 pandemic. We resumed investing in Agency RMBS in July 2020 and elected the fair value option for these securities. December 31, 2020 December 31, 2019 $ in thousands Available-for-sale Securities Securities under Fair Value Option Total Available-for-sale Securities Securities under Fair Value Option Total Agency RMBS: 15 year fixed-rate — — — 98,666 193,748 292,414 30 year fixed-rate — 8,050,866 8,050,866 754,590 9,769,630 10,524,220 Hybrid ARM — — — 31,522 25,371 56,893 Total Agency RMBS pass-through — 8,050,866 8,050,866 884,778 9,988,749 10,873,527 Agency-CMO — — — 146,733 280,779 427,512 Agency CMBS — — — — 4,767,930 4,767,930 Non-Agency CMBS 109,583 — 109,583 2,150,991 1,672,483 3,823,474 Non-Agency RMBS 7,267 4,466 11,733 715,479 240,192 955,671 GSE CRT — — — 507,445 416,227 923,672 Total 116,850 8,055,332 8,172,182 4,405,426 17,366,360 21,771,786 The components of the carrying value of our MBS and GSE CRT portfolio at December 31, 2020 and 2019 are presented below. December 31, 2020 December 31, 2019 $ in thousands MBS and GSE Interest-Only Securities Total MBS and GSE Interest-Only Securities Total Principal/notional balance 7,757,491 800,426 8,557,917 20,957,410 2,396,665 23,354,075 Unamortized premium 391,644 — 391,644 440,503 — 440,503 Unamortized discount (10,067) (795,018) (805,085) (419,983) (2,342,319) (2,762,302) Allowance for credit losses (1,768) — (1,768) — — — Gross unrealized gains (1) 34,539 103 34,642 807,324 4,782 812,106 Gross unrealized losses (1) (4,527) (641) (5,168) (66,064) (6,532) (72,596) Fair value 8,167,312 4,870 8,172,182 21,719,190 52,596 21,771,786 (1) Gross unrealized gains and losses includes gains (losses) recognized in net income for securities accounted for as derivatives or under the fair value option as well as gains (losses) for available-for-sale securities which are recognized as adjustments to other comprehensive income. Realization occurs upon sale or settlement of such securities. Further detail on the components of our total gains (losses) on investments, net for the years ended December 31, 2020 and 2019 is provided below within this Note 4. The following table summarizes our MBS and GSE CRT portfolio according to estimated weighted average life classifications as of December 31, 2020 and 2019. $ in thousands December 31, 2020 December 31, 2019 Less than one year 22,112 268,536 Greater than one year and less than five years 5,303,917 7,836,620 Greater than or equal to five years 2,846,153 13,666,630 Total 8,172,182 21,771,786 The following tables present the estimated fair value and gross unrealized losses of our MBS and GSE CRTs by length of time that such securities have been in a continuous unrealized loss position at December 31, 2020 and 2019. December 31, 2020 Less than 12 Months 12 Months or More Total $ in thousands Fair Unrealized Number of Securities Fair Unrealized Number of Securities Fair Unrealized Number of Securities Agency RMBS: 30 year fixed-rate 1,496,279 (4,108) 20 — — — 1,496,279 (4,108) 20 Total Agency RMBS pass-through (1) 1,496,279 (4,108) 20 — — — 1,496,279 (4,108) 20 Non-Agency CMBS (2) 27,069 (419) 1 — — — 27,069 (419) 1 Non-Agency RMBS (3) 2,681 (438) 6 1,612 (203) 7 4,293 (641) 13 Total 1,526,029 (4,965) 27 1,612 (203) 7 1,527,641 (5,168) 34 (1) Fair value option has been elected for all Agency RMBS in an unrealized loss position. (2) Unrealized losses on non-Agency CMBS are included in accumulated other comprehensive income. These losses are not reflected in an allowance for credit losses based on a comparison of discounted expected cash flows to current amortized cost basis. (3) Fair value option has been elected for all non-Agency RMBS in an unrealized loss position. December 31, 2019 Less than 12 Months 12 Months or More Total $ in thousands Fair Unrealized Number of Securities Fair Unrealized Number of Securities Fair Unrealized Number of Securities Agency RMBS: 15 year fixed-rate 957 (1) 2 362 (3) 4 1,319 (4) 6 30 year fixed-rate 255,649 (207) 3 34,009 (256) 5 289,658 (463) 8 Hybrid ARM 434 (2) 1 1,524 (46) 3 1,958 (48) 4 Total Agency RMBS pass-through (1) 257,040 (210) 6 35,895 (305) 12 292,935 (515) 18 Agency-CMO (2) 67,875 (1,194) 15 6,155 (1,513) 13 74,030 (2,707) 28 Agency CMBS (3) 1,743,800 (50,521) 58 — — — 1,743,800 (50,521) 58 Non-Agency CMBS (4) 203,129 (2,783) 19 101,021 (11,425) 7 304,150 (14,208) 26 Non-Agency RMBS (5) 26,283 (3,935) 14 12,199 (636) 2 38,482 (4,571) 16 GSE CRT (6) 77,044 (74) 4 — — — 77,044 (74) 4 Total 2,375,171 (58,717) 116 155,270 (13,879) 34 2,530,441 (72,596) 150 (1) Includes Agency RMBS with a fair value of $271.3 million for which the fair value option has been elected. These securities have unrealized losses of $268,000. (2) Includes Agency IO and Agency-CMO with fair value of $11.1 million and $25.8 million, respectively, for which the fair value option has been elected. These Agency IO and Agency-CMO securities have unrealized losses of $2.3 million and $134,000, respectively. (3) Fair value option has been elected for all securities in an unrealized loss position. (4) Includes non-Agency CMBS with a fair value of $181.5 million for which the fair value option has been elected. These securities have unrealized losses of $2.8 million. (5) Includes non-Agency RMBS and non-Agency IO with a fair value of $17.6 million and $8.5 million, respectively, for which the fair value option has been elected. These securities have unrealized losses of $261,000 and $3.7 million, respectively. (6) Fair value option has been elected for all GSE CRT that are in an unrealized loss position. On January 1, 2020, we adopted accounting guidance that requires us to estimate an allowance for credit losses on available-for-sale securities in unrealized loss positions. As of December 31, 2020, we have recorded an allowance for credit losses of $1.8 million on non-Agency CMBS on our consolidated balance sheet. We recorded a $1.8 million provision for credit losses within (increase) decrease in provision for credit losses on our consolidated statement of operations during the year ended December 31, 2020. Additionally, we recorded impairments of $94.1 million on our consolidated statement of operations during the year ended December 31, 2020 because we intended to sell or more likely than not would be required to sell the securities before recovery of amortized cost basis. The following table presents a roll-forward of our allowance for credit losses. $ in thousands Year Ended December 31, 2020 Beginning allowance for credit losses — Additions to the allowance for credit losses on securities for which credit losses were not previously recorded (1,768) Ending allowance for credit losses (1,768) Before January 1, 2020, we assessed our investment securities for other-than-temporary impairment ("OTTI") on a quarterly basis. When the fair value of an investment was less than its amortized cost at the balance sheet date of the reporting period for which impairment is assessed, the impairment is designated as either “temporary” or “other-than-temporary.” This analysis included a determination of estimated future cash flows through an evaluation of the characteristics of the underlying loans and the structural features of the investment. Underlying loan characteristics reviewed included, but were not limited to, delinquency status, loan-to-value ratios, borrower credit scores, occupancy status and geographic concentration. The following table represents OTTI included in earnings for the years ended December 31, 2019 and 2018. Years Ended December 31, $ in thousands 2019 2018 RMBS interest-only securities 6,707 7,761 Non-Agency RMBS (1) 1,024 85 Total 7,731 7,846 (1) Amounts disclosed relate to credit losses on debt securities for which a portion of an other-than-temporary impairment was recognized in other comprehensive income. OTTI on RMBS interest-only securities was recorded as a reclassification from an unrealized to realized loss within gain (loss) on investments, net on the consolidated statements of operations because we account for these securities under the fair value option. The following table summarizes the components of our total gain (loss) on investments, net for the years ended December 31, 2020, 2019 and 2018. Years Ended December 31, $ in thousands 2020 2019 2018 Gross realized gains on sale of investments 656,915 24,721 774 Gross realized losses on sale of investments (1,020,696) (16,682) (218,910) Impairment of investments the Company intends to sell or more likely than not will be required to sell before recovery of amortized cost basis and other impairments (101,138) — — Other-than-temporary impairment losses — (7,731) (7,846) Net unrealized gains (losses) on MBS and GSE CRT accounted for under the fair value option (492,047) 624,158 (101,697) Net unrealized gains (losses) on commercial loan and loan participation interest (1,164) — — Realized loss on loan participation interest (3,808) — — Net unrealized gains (losses) on trading securities — — (21) Total gain (loss) on investments, net (961,938) 624,466 (327,700) The following tables present components of interest income recognized on our MBS and GSE CRT portfolio for the years ended December 31, 2020, 2019 and 2018. GSE CRT interest income excludes coupon interest associated with embedded derivatives not accounted for under the fair value option of $6.3 million, $20.8 million and $22.5 million for the years ended December 31, 2020, 2019 and 2018, respectively, that is recorded as realized and unrealized credit derivative income (loss), net. For the Year ended December 31, 2020 $ in thousands Coupon Net (Premium Interest Agency RMBS 161,845 (32,737) 129,108 Agency CMBS 35,822 (1,744) 34,078 Non-Agency CMBS 76,068 14,721 90,789 Non-Agency RMBS 13,895 1,107 15,002 GSE CRT 10,232 (2,560) 7,672 Other 751 — 751 Total 298,613 (21,213) 277,400 For the Year ended December 31, 2019 $ in thousands Coupon Net (Premium Amortization)/Discount Accretion Interest Agency RMBS 488,650 (76,676) 411,974 Agency CMBS 88,462 (4,712) 83,750 Non-Agency CMBS 163,326 15,347 178,673 Non-Agency RMBS 52,857 13,164 66,021 GSE CRT 37,032 (7,842) 29,190 Other 3,049 — 3,049 Total 833,376 (60,719) 772,657 For the Year ended December 31, 2018 $ in thousands Coupon Net (Premium Amortization)/Discount Accretion Interest Agency RMBS 441,757 (80,750) 361,007 Agency CMBS 10,546 (591) 9,955 Non-Agency CMBS 151,562 6,682 158,244 Non-Agency RMBS 55,116 19,968 75,084 GSE CRT 29,142 (3,071) 26,071 Other 1,117 — 1,117 Total 689,240 (57,762) 631,478 |
Other Assets
Other Assets | 12 Months Ended |
Dec. 31, 2020 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |
Other Assets | Other Assets The following table summarizes our other assets as of December 31, 2020 and 2019: $ in thousands December 31, 2020 December 31, 2019 FHLBI stock — 74,250 Loan participation interest — 44,654 Commercial loan, held-for-investment 23,098 24,055 Investments in unconsolidated ventures 16,408 21,998 Prepaid expenses and other assets 1,657 1,223 Total 41,163 166,180 IAS Services LLC, our wholly-owned captive insurance subsidiary, was required to purchase and hold FHLBI stock as a condition of membership in the FHLBI. During the year ended December 31, 2020, FHLBI fully redeemed our stock at cost in connection with the repayment of our secured loans. We terminated our FHLBI membership in the third quarter of 2020. IAS Services LLC was dissolved in December 2020. We sold our participation interest in a secured loan collateralized by mortgage servicing rights for $21.6 million in April 2020. We recorded a realized loss of $3.8 million upon sale of the participation interest. The weighted average asset yield for the participation interest was 5.82% as of December 31, 2019. We have an investment in a commercial loan that matures in February 2021. Refer to Note 16 – “Subsequent Events” for additional information on the contractual maturity of our commercial loan. The loan had a weighted average coupon rate of 8.65% as of December 31, 2020 (10.19% as of December 31, 2019 ). As discussed in Note 2 - “Summary of Significant Accounting Policies”, we elected the fair value option for this loan on January 1, 2020. We recorded unrealized losses of $1.2 million on this loan in our consolidated statement of operations during the year ended December 31, 2020 based on a discounted cash flow valuation prepared by an independent pricing service. We previously reported this loan on our consolidated balance sheet at amortized cost. |
Borrowings
Borrowings | 12 Months Ended |
Dec. 31, 2020 | |
Debt Disclosure [Abstract] | |
Borrowings | Borrowings We have historically financed the majority of our investment portfolio through repurchase agreements and secured loans. We fully repaid our secured loans during the year ended December 31, 2020. The following tables summarize certain characteristics of our borrowings at December 31, 2020 and 2019. Refer to Note 7 - “Collateral Positions” for collateral pledged and held under our repurchase agreements and secured loans. December 31, 2020 $ in thousands Amount Weighted Weighted Repurchase Agreements - Agency RMBS 7,228,699 0.21 % 14 Total Borrowings 7,228,699 0.21 % 14 December 31, 2019 $ in thousands Amount Weighted Weighted Repurchase Agreements: Agency RMBS 9,666,964 1.95 % 46 Agency CMBS 4,246,359 1.95 % 43 Non-Agency CMBS 2,041,968 2.71 % 14 Non-Agency RMBS 790,412 2.65 % 16 GSE CRT 753,110 2.70 % 13 Loan Participation Interest 33,490 3.22 % 240 Total Repurchase Agreements 17,532,303 2.11 % 39 Secured Loans 1,650,000 1.93 % 1587 Total Borrowings 19,182,303 2.09 % 172 Repurchase Agreements In the first half of 2020, we experienced unprecedented market conditions as a result of the COVID-19 pandemic. We received an unusually high number of margin calls from our repurchase agreement counterparties during March 2020 following significant spread widening in both Agency and non-Agency securities. As a result, we were unable to meet margin calls and were not in compliance with all of the financial covenants of our repurchase agreements as of March 31, 2020. While certain of our repurchase agreement counterparties permitted our repurchase agreements to remain outstanding while we were not in compliance, other counterparties seized and sold securities that we had posted as collateral for our repurchase agreements. As of May 7, 2020, we repaid all of our repurchase agreements that may have been in default. Gains and losses associated with the termination of these repurchase agreements are reported as a net gain (loss) on extinguishment of debt in our consolidated statement of operations. We resumed financing the purchase of Agency RMBS with repurchase agreements in July 2020. These repurchase agreements generally bear interest at a contractually agreed upon rate and have maturities of approximately one month. Repurchase agreements are accounted for as secured borrowings since we maintain effective control of the financed assets. The repurchase agreements are subject to certain financial covenants. We were in compliance with all of these covenants as of December 31, 2020. Secured Loans During the year ended December 31, 2020, IAS Services LLC, our former wholly-owned captive insurance subsidiary, fully repaid its outstanding secured loans from the FHLBI. In April 2020, the FHLBI modified the terms of our secured loans because we were not in compliance with all of the financial covenants of our secured loan agreements as of March 31, 2020. The modified loan terms required repayment of our secured loans by December 2020 but allowed for prepayment at any time without penalty. These loans had a variable rate based on the FHLBI's short-term cost of funds. For the year ended December 31, 2020, weighted average borrowings under our secured loans were $587.1 million with a weighted average borrowing rate of 1.47%. Exchangeable Senior Notes |
Collateral Positions
Collateral Positions | 12 Months Ended |
Dec. 31, 2020 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Collateral Positions | Collateral Positions The following table summarizes the fair value of collateral that we pledged and held under our repurchase agreements, secured loans, interest rate swaps, currency forward contracts, and TBAs as of December 31, 2020 and 2019. Refer to Note 2 - “Summary of Significant Accounting Policies - Fair Value Measurements” for a description of how we determine fair value. MBS and GSE CRT collateral pledged is included in mortgage-backed and credit risk transfer securities on our consolidated balance sheets. Loan participation interest collateral pledged was included in other assets on our consolidated balance sheets. Cash collateral pledged on secured loans, centrally cleared interest rate swaps and currency forward contracts is classified as restricted cash on our consolidated balance sheets. Cash collateral pledged on repurchase agreements and TBAs accounted for as derivatives is classified as due from counterparties on our consolidated balance sheets. Agency CMBS purchase commitments that are recorded as mortgage-backed and credit risk transfer securities on our consolidated balance sheets cannot be pledged as collateral until these securities settle. We held approximately $96.2 million of these securities as of December 31, 2019. We did not have any Agency CMBS purchase commitments as of December 31, 2020. Cash collateral held on repurchase agreements that is not restricted for use is included in cash and cash equivalents on our consolidated balance sheets and the liability to return the collateral is included in collateral held payable. Non-cash collateral held is only recognized if the counterparty defaults or if we sell the pledged collateral. As of December 31, 2020 and 2019, we did not recognize any non-cash collateral held on our consolidated balance sheets. $ in thousands As of Collateral Pledged December 31, 2020 December 31, 2019 Repurchase Agreements: Agency RMBS 7,614,935 10,187,555 Agency CMBS — 4,446,384 Non-Agency CMBS — 2,549,841 Non-Agency RMBS — 943,176 GSE CRT — 918,117 Loan participation interest — 44,654 Cash 700 32,568 Total repurchase agreements collateral pledged 7,615,635 19,122,295 Secured Loans: Agency RMBS — 621,471 Non-Agency CMBS — 1,276,418 Restricted cash — 600 Total secured loans collateral pledged — 1,898,489 Interest Rate Swaps, Currency Forward Contracts and TBAs: Agency RMBS — 189,780 Cash 378 — Restricted cash 244,573 116,395 Total interest rate swaps, currency forward contracts and TBAs collateral pledged 244,951 306,175 Total collateral pledged: Mortgage-backed and credit risk transfer securities 7,614,935 21,132,742 Loan participation interest — 44,654 Cash 1,078 32,568 Restricted cash 244,573 116,995 Total collateral pledged 7,860,586 21,326,959 Collateral Held December 31, 2020 December 31, 2019 Repurchase Agreements: Cash 1,916 10 Non-cash collateral 4,226 181 Total repurchase agreements collateral held 6,142 191 Interest Rate Swaps and TBAs: Cash 1,630 160 Total interest rate swap and currency forward contracts collateral held 1,630 160 Total collateral held: Cash 3,546 170 Non-cash collateral 4,226 181 Total collateral held 7,772 351 Repurchase Agreements Collateral pledged with our repurchase agreement counterparties is segregated in our books and records. The repurchase agreement counterparties have the right to resell and repledge the collateral posted but have the obligation to return the pledged collateral, or substantially the same collateral if agreed to by us, upon maturity of the repurchase agreement. Under the repurchase agreements, the respective lender retains the contractual right to mark the underlying collateral to fair value. We would be required to provide additional collateral to fund margin calls if the value of pledged assets declined. We intend to maintain a level of liquidity that will enable us to meet margin calls. As of December 31, 2020, our repurchase agreement collateral ratio (MBS pledged as collateral/ amount outstanding) was 105%. As of December 31, 2019, our repurchase agreement collateral ratio (MBS, GSE CRTs and a loan participation interest pledged as collateral/ amount outstanding) was 109%. Secured Loans Collateral pledged with the FHLBI was held in trust for the benefit of the FHLBI and was not commingled with our other assets. The FHLBI retained the right to mark the underlying collateral for FHLBI advances to fair value as determined by the FHLBI in its sole discretion. We repaid the outstanding balance of our secured loans during the year ended December 31, 2020 and did not have any secured loans outstanding as of December 31, 2020. Interest Rate Swaps As of December 31, 2020 and 2019, all of our interest rate swaps are centrally cleared by a registered clearing organization such as the Chicago Mercantile Exchange (“CME”) and LCH Limited (“LCH”) through a Futures Commission Merchant (“FCM”). We are required to pledge initial margin and daily variation margin for our centrally cleared interest rate swaps that is based on the fair value of our contracts as determined by our FCM. Collateral pledged with our FCM is segregated in our books and records and can be in the form of cash or securities. Daily variation margin for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral and is recorded as gain (loss) on derivative instruments, net in our consolidated statements of operations. Our FCM agreements include cross default provisions. TBAs and Currency Forward Contracts Our TBAs and currency forward contracts provide for bilateral collateral pledging based on market value as determined by our counterparties. Collateral pledged with our TBA and currency forward counterparties is segregated in our books and records and can be in the form of cash or securities. Our counterparties have the right to repledge the collateral posted and have the obligation to return the pledged collateral, or substantially the same collateral, if agreed to by us, as the market value of the contracts changes. |
Derivatives and Hedging Activit
Derivatives and Hedging Activities | 12 Months Ended |
Dec. 31, 2020 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivatives and Hedging Activities | Derivatives and Hedging Activities Risk Management Objective of Using Derivatives We are exposed to certain risks arising from both our business operations and economic conditions. We principally manage our exposures to a wide variety of business and operational risks through management of our core business activities. We manage economic risks, including interest rate, liquidity, credit and foreign exchange rate risk primarily by managing the amount, sources, and duration of our investments, borrowings, and the use of derivative financial instruments. Specifically, we use derivative financial instruments to manage exposures that arise from business activities that result in the receipt or payment of future known and uncertain cash amounts, the value of which are determined by interest rates or foreign exchange rates. Our derivative financial instruments are used to manage differences in the amount, timing, and duration of our known or expected cash receipts and our known or expected cash payments principally related to our investments and borrowings. The following table summarizes changes in the notional amount of our derivative instruments during 2020: $ in thousands Notional Amount as of December 31, 2019 Additions Settlement, Notional Amount as Interest Rate Swaps 14,000,000 101,025,000 (108,725,000) 6,300,000 Currency Forward Contracts 23,111 103,381 (93,408) 33,084 Credit Derivatives 464,966 — (464,966) — TBA Purchase Contracts — 8,800,000 (7,100,000) 1,700,000 TBA Sale Contracts — (5,600,000) 5,600,000 — Total 14,488,077 104,328,381 (110,783,374) 8,033,084 Refer to Note 7 - “Collateral Positions” for further information regarding our collateral pledged to and received from our derivative counterparties. Interest Rate Swaps Our repurchase agreements are usually settled on a short-term basis ranging from one month to six months. At each settlement date, we typically refinance each repurchase agreement at the market interest rate at that time. Our objectives in using interest rate derivatives are to add stability to interest expense and to manage our exposures to interest rate movements. To accomplish these objectives, we primarily use interest rate swaps as part of our interest rate risk management strategy. Under the terms of our interest rate swap contracts, we make fixed-rate payments to a counterparty in exchange for the receipt of variable-rate amounts over the life of the agreements without exchange of the underlying notional amount. Amounts recorded in AOCI before we discontinued cash flow hedge accounting for our interest rate swaps are reclassified to interest expense on repurchase agreements on the consolidated statements of operations as interest is accrued and paid on the related repurchase agreements over the remaining life of the interest rate swap agreements. We reclassified $23.8 million as a decrease (2019: $23.7 million as a decrease; 2018: $25.8 million as a decrease) to interest expense for the year ended December 31, 2020. During the next 12 months, we estimate that $22.0 million will be reclassified as a decrease to interest expense, repurchase agreements. As of December 31, 2020, $52.1 million (2019: $75.9 million) of net unrealized gains on discontinued cash flow hedges are still included in accumulated other comprehensive income and will be reclassified to interest expense, repurchase agreements over a period of time through December 15, 2023. As of December 31, 2020 and 2019, we had interest rate swaps with the following maturities outstanding: $ in thousands As of December 31, 2020 Maturities Notional Amount (1) Weighted Average Fixed Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity 2024 1,000,000 0.16 % 0.15 % 3.6 2025 1,250,000 0.23 % 0.15 % 4.6 Thereafter 4,050,000 0.53 % 0.15 % 8.1 Total 6,300,000 0.41 % 0.15 % 6.7 $ in thousands As of December 31, 2019 Maturities Notional Amount (2) Weighted Average Fixed Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity 2020 1,900,000 1.67 % 1.84 % 0.6 2021 2,500,000 1.40 % 1.77 % 1.3 2022 800,000 1.53 % 1.91 % 2.9 2023 2,400,000 1.44 % 1.72 % 3.9 2024 900,000 1.49 % 1.76 % 4.8 Thereafter 5,500,000 1.44 % 1.78 % 9.5 Total 14,000,000 1.47 % 1.79 % 5.2 (1) Notional amount includes $6.3 billion of interest rate swaps that receive variable payments based on 1-month LIBOR as of December 31, 2020. (2) Notional amount includes $10.7 billion of interest rate swaps that receive variable payments based on 1-month LIBOR and $3.3 billion of interest rate swaps that receive variable payments based on 3-month LIBOR as of December 31, 2019. Futures and Currency Forward Contracts We purchase or sell futures contracts to help mitigate the potential impact of changes in interest rates on the performance of our investment portfolio. We recognize realized and unrealized gains and losses associated with the purchases or sales of futures contracts in gain (loss) on derivative instruments, net in our consolidated statements of operations. We did not have any futures contracts outstanding as of December 31, 2020 and December 31, 2019. We use currency forward contracts to help mitigate the potential impact of changes in foreign currency exchange rates on our investments denominated in foreign currencies. We recognize realized and unrealized gains and losses associated with the purchases or sales of currency forward contracts in gain (loss) on derivative instruments, net in our consolidated statements of operations. As of December 31, 2020, we had $33.1 million (December 31, 2019: $23.1 million) of notional amount of currency forward contracts related to an investment in an unconsolidated venture denominated in euro. Credit Derivatives Our GSE CRTs purchased before August 24, 2015 were accounted for as hybrid financial instruments consisting of a debt host contract and an embedded credit derivative. Embedded derivatives associated with GSE CRTs were recorded within mortgage-backed and credit risk transfer securities, at fair value, on our consolidated balance sheets. We did not hold any GSE CRTs that were accounted for as hybrid financial instruments as of December 31, 2020. As of December 31, 2019, terms of the GSE CRT embedded derivatives were: $ in thousands December 31, 2019 Fair value amount 10,281 Notional amount 464,966 Maximum potential amount of future undiscounted payments 464,966 TBAs We primarily use TBAs that we do not intend to physically settle on the contractual settlement date as an alternative means of investing in and financing Agency RMBS. The following table summarizes certain characteristics of our TBAs accounted for as derivatives as of December 31, 2020. We did not hold any such instruments as of December 31, 2019. $ in thousands As of December 31, 2020 Notional Amount Implied Cost Basis Implied Market Value Net Carrying Value TBA purchase contracts 1,700,000 1,772,211 1,782,104 9,893 Net TBA derivatives 1,700,000 1,772,211 1,782,104 9,893 Tabular Disclosure of the Effect of Derivative Instruments on the Balance Sheet The table below presents the fair value of our derivative financial instruments, as well as their classification on our consolidated balance sheets as of December 31, 2020 and 2019. $ in thousands Derivative Assets Derivative Liabilities As of December 31, 2020 As of December 31, 2019 As of December 31, 2020 As of December 31, 2019 Balance Fair Value Fair Value Balance Fair Value Fair Value Interest Rate Swaps Asset — 18,533 Interest Rate Swaps Liability 5,537 — Currency Forward Contracts 111 — Currency Forward Contracts 807 352 TBAs 9,893 — TBAs — — Total Derivative Assets 10,004 18,533 Total Derivative Liabilities 6,344 352 Tabular Disclosure of the Effect of Derivative Instruments on the Income Statement The tables below present the effect of our credit derivatives on our consolidated statements of operations for the years ended December 31, 2020, 2019 and 2018. $ in thousands Year ended December 31, 2020 Derivative Realized gain (loss), net GSE CRT embedded derivative coupon interest Unrealized Realized and unrealized credit derivative income (loss), net GSE CRT Embedded Derivatives (31,354) 6,323 (10,281) (35,312) $ in thousands Year ended December 31, 2019 Derivative Realized gain (loss), net GSE CRT embedded derivative coupon interest Unrealized Realized and unrealized credit derivative income (loss), net GSE CRT Embedded Derivatives — 20,833 (12,490) 8,343 $ in thousands Year Ended December 31, 2018 Derivative Realized gain (loss), net GSE CRT embedded derivative coupon interest Unrealized Realized and unrealized credit derivative income (loss), net GSE CRT Embedded Derivatives — 22,478 (22,629) (151) The following tables summarize the effect of interest rate swaps, futures contracts, currency forward contracts and TBAs reported in gain (loss) on derivative instruments, net on the consolidated statements of operations for the years ended December 31, 2020, 2019 and 2018. $ in thousands Year ended December 31, 2020 Derivative Realized gain (loss) on derivative instruments, net Contractual net Unrealized Gain (loss) on derivative instruments, net Interest Rate Swaps (857,753) 8,047 (24,068) (873,774) Currency Forward Contracts (1,301) — (345) (1,646) TBAs 14,477 — 9,893 24,370 Total (844,577) 8,047 (14,520) (851,050) $ in thousands Year ended December 31, 2019 Derivative Realized gain (loss) on derivative instruments, net Contractual net Unrealized Gain (loss) on derivative instruments, net Interest Rate Swaps (440,626) 35,840 18,826 (385,960) Future Contracts (157,929) — 7,836 (150,093) Currency Forward Contracts 1,478 — (180) 1,298 Total (597,077) 35,840 26,482 (534,755) $ in thousands Year ended December 31, 2018 Derivative Realized gain (loss) on derivative instruments, net Contractual net Unrealized Gain (loss) on derivative instruments, net Interest Rate Swaps 81,417 (20,015) 24,358 85,760 Future Contracts (86,318) — (7,836) (94,154) Currency Forward Contracts 2,088 — 1,046 3,134 TBAs (17) — — (17) Total (2,830) (20,015) 17,568 (5,277) |
Offsetting Assets and Liabiliti
Offsetting Assets and Liabilities | 12 Months Ended |
Dec. 31, 2020 | |
Offsetting [Abstract] | |
Offsetting Assets and Liabilities | Offsetting Assets and Liabilities Certain of our repurchase agreements and derivative transactions are governed by underlying agreements that generally provide for a right of offset under master netting arrangements (or similar agreements) in the event of default or in the event of bankruptcy of either party to the transactions. Assets and liabilities subject to such arrangements are presented on a gross basis in the consolidated balance sheets. The following tables present information about the assets and liabilities that are subject to master netting arrangements (or similar agreements) and can potentially be offset on our consolidated balance sheets at December 31, 2020 and December 31, 2019. The daily variation margin payment for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral. Our derivative liability of $5.5 million at December 31, 2020 (December 31, 2019: asset of $18.5 million) related to centrally cleared interest rate swaps is not included in the table below as a result of this characterization of daily variation margin. As of December 31, 2020 Gross Amounts Not Offset in the $ in thousands Gross Gross Net Amounts Financial Net Amount Assets Derivatives (1) (2) 10,004 — 10,004 (111) (1,630) 8,263 Total Assets 10,004 — 10,004 (111) (1,630) 8,263 Liabilities Derivatives (1) (2) (807) — (807) 111 610 (86) Repurchase Agreements (3) (7,228,699) — (7,228,699) 7,228,699 — — Total Liabilities (7,229,506) — (7,229,506) 7,228,810 610 (86) As of December 31, 2019 Gross Amounts Not Offset in the $ in thousands Gross Gross Net Amounts Financial Cash Collateral Net Amount Liabilities Derivatives (1) (2) (352) — (352) — 320 (32) Repurchase Agreements (3) (17,532,303) — (17,532,303) 17,532,303 — — Secured Loans (4) (1,650,000) — (1,650,000) 1,650,000 — — Total Liabilities (19,182,655) — (19,182,655) 19,182,303 320 (32) (1) Amounts represent derivative assets and derivative liabilities which could potentially be offset against other derivative assets, derivative liabilities and cash collateral pledged or received. (2) The fair value of securities pledged as initial margin against our centrally cleared swaps was $189.8 million as of December 31, 2019. Cash collateral pledged by us on our currency forward contracts, TBAs and centrally cleared interest rate swaps was $245.0 million and $116.4 million at December 31, 2020 and December 31, 2019, respectively. Cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps and is therefore excluded from the tables above. We held cash collateral on our derivatives of $1.6 million and $160,000 as of December 31, 2020 and December 31, 2019, respectively. (3) The fair value of securities pledged against our borrowing under repurchase agreements was $7.6 billion and $19.1 billion at December 31, 2020 and December 31, 2019, respectively. We pledged cash collateral of $700,000 and $32.6 million under repurchase agreements as of December 31, 2020 and December 31, 2019, respectively. We held cash collateral of $1.9 million and $10,000 under repurchase agreements as of December 31, 2020 and December 31, 2019, respectively. (4) The fair value of securities pledged against borrowings under our secured loans was $1.9 billion at December 31, 2019. We pledged cash collateral against secured loans of $600,000 as of December 31, 2019. |
Fair Value of Financial Instrum
Fair Value of Financial Instruments | 12 Months Ended |
Dec. 31, 2020 | |
Fair Value Disclosures [Abstract] | |
Fair Value of Financial Instruments | Fair Value of Financial Instruments A three-level valuation hierarchy exists for disclosure of fair value measurements based upon the transparency of inputs to the valuation of an asset or liability as of the measurement date. Observable inputs reflect readily obtainable data from independent sources, while unobservable inputs reflect our market assumptions. The three levels are defined as follows: • Level 1 Inputs – Quoted prices for identical instruments in active markets. • Level 2 Inputs – Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable. • Level 3 Inputs – Instruments with primarily unobservable value drivers. The following tables present our assets and liabilities measured at fair value on a recurring basis. December 31, 2020 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 NAV as a practical expedient (3) Total at Assets: Mortgage-backed and credit risk transfer securities (1) — 8,172,182 — — 8,172,182 Derivative assets — 10,004 — — 10,004 Other assets (4) — — 23,098 16,408 39,506 Total assets — 8,182,186 23,098 16,408 8,221,692 Liabilities: Derivative liabilities — 6,344 — — 6,344 Total liabilities — 6,344 — — 6,344 December 31, 2019 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 NAV as a practical expedient (3) Total at Assets: Mortgage-backed and credit risk transfer securities (1)(2) — 21,761,505 10,281 — 21,771,786 Derivative assets — 18,533 — — 18,533 Other assets (4) — — 44,654 21,998 66,652 Total assets — 21,780,038 54,935 21,998 21,856,971 Liabilities: Derivative liabilities — 352 — — 352 Total liabilities — 352 — — 352 (1) For more detail about the fair value of our MBS and GSE CRTs, refer to Note 4 - “Mortgage-Backed and Credit Risk Transfer Securities.” (2) Our GSE CRTs purchased before August 24, 2015 were accounted for as hybrid financial instruments with an embedded derivative. The hybrid financial instruments consisted of debt host contracts classified as Level 2 and embedded derivatives classified as Level 3. We did not hold any GSE CRTs accounted for as hybrid financial instruments as of December 31, 2020. As of December 31, 2019, the net embedded derivative asset position of $10.3 million includes $19.5 million of embedded derivatives in an asset position and $9.2 million of embedded derivatives in a liability position. (3) Investments in unconsolidated ventures are valued using the net asset value (“NAV”) as a practical expedient and are not subject to redemption, although investors may sell or transfer their interest at the approval of the general partner of the underlying funds. As of December 31, 2020 and December 31, 2019, the weighted average remaining term of our investments in unconsolidated ventures is 1.5 years and 2.2 years, respectively. (4) Includes $44.7 million of a loan participation interest as of December 31, 2019 and $23.1 million of a commercial loan as of December 31, 2020. We elected the fair value option for our commercial loan as of January 1, 2020 and valued the loan based on a third party appraisal as of December 31, 2020. We sold our loan participation interest on April 1, 2020. The following table shows a reconciliation of the beginning and ending fair value measurements of our GSE CRT embedded derivatives, which we have valued utilizing Level 3 inputs: Years Ended $ in thousands December 31, 2020 December 31, 2019 Beginning balance 10,281 22,771 Sales and settlements 31,354 — Total net credit derivative gains (losses) included in net income: Realized credit derivative gains (losses), net (31,354) — Unrealized credit derivative gains (losses), net (1) (10,281) (12,490) Ending balance — 10,281 (1) Included in realized and unrealized credit derivative income (loss), net in the consolidated statements of operations is $12.5 million in net unrealized losses attributable to assets still held as of December 31, 2019, respectively. The following table shows a reconciliation of the beginning and ending fair value measurements of our loan participation interest, which we have valued utilizing Level 3 inputs: Year Ended $ in thousands December 31, 2020 December 31, 2019 Beginning balance 44,654 54,981 Purchases/Advances — 7,962 Repayments (19,269) (18,289) Sales (21,577) — Total net gains and losses included in net income: Realized losses (3,808) — Ending balance — 44,654 Realized losses on our loan participation interest are included in gain (loss) on investments, net in our consolidated statements of operations. The following table shows a reconciliation of the beginning balance of our commercial loan and ending balance at fair value, which we have valued utilizing Level 3 inputs: Year Ended $ in thousands December 31, 2020 Beginning balance 24,055 Cumulative effect of adoption of new accounting principle 342 Repayments (136) Total net unrealized losses included in net income: Unrealized losses (1,163) Ending balance 23,098 Unrealized losses on our commercial loan are included in gain (loss) on investments, net in our consolidated statements of operations. The following tables summarize significant unobservable inputs used in the fair value measurement of our GSE CRT embedded derivatives: Fair Value at $ in thousands December 31, 2019 Valuation Technique Unobservable Input Range Weighted Average GSE CRT Embedded Derivatives 10,281 Market Comparables, Vendor Pricing Weighted average life 1.1 - 4.2 years 2.9 years These significant unobservable inputs change according to market conditions and security performance. We estimate the weighted average life of GSE CRTs to identify GSE corporate debt with a similar maturity. We obtain our weighted average life estimates from a third party provider. Although weighted average life is a significant input, changes in weighted average life may not have an explicit directional impact on the fair value measurement. The following table summarizes the significant unobservable input used in the fair value measurement of our commercial loan: Fair Value at Valuation Unobservable $ in thousands December 31, 2020 Technique Input Rate Commercial Loan 23,098 Discounted Cash Flow Discount rate 29.9 % The following table presents the carrying value and estimated fair value of our financial instruments that are not carried at fair value on the consolidated balance sheets at December 31, 2020 and December 31, 2019: December 31, 2020 December 31, 2019 $ in thousands Carrying Estimated Carrying Estimated Financial Assets: Commercial loan, held-for-investment (1) N/A N/A 24,055 24,397 FHLBI stock — — 74,250 74,250 Total — — 98,305 98,647 Financial Liabilities: Repurchase agreements 7,228,699 7,228,719 17,532,303 17,534,344 Secured loans — — 1,650,000 1,650,000 Total 7,228,699 7,228,719 19,182,303 19,184,344 (1) The carrying value and estimated fair value of our commercial loan as of December 31, 2020 are not applicable for disclosure in this table because we elected the fair value option for our commercial loan on January 1, 2020. The following describes our methods for estimating the fair value for financial instruments not carried at fair value on the consolidated balance sheets. • The estimated fair value of our commercial loan held-for-investment, included in “Other assets” on our consolidated balance sheets as of December 31, 2019, is a Level 3 fair value measurement. The fair value was determined by an independent pricing service using a discounted cash flow analysis. • The estimated fair value of FHLBI stock, included in “Other assets” on our consolidated balance sheets as of December 31, 2019, is a Level 3 fair value measurement. The cost of the FHLBI stock approximated its fair value because it could only be sold back to the FHLBI at its discretion at par. FHLBI redeemed our stock at cost in connection with the repayment of our secured loans. We terminated our membership in FHLBI in the third quarter of 2020. • The estimated fair value of repurchase agreements is a Level 3 fair value measurement based on an expected present value technique. This method discounts future estimated cash flows using rates we determined best reflect current market interest rates that would be offered for repurchase agreements with similar characteristics and credit quality. • The estimated fair value of secured loans is a Level 3 fair value measurement. As of December 31, 2019, the secured loans had floating rates based on an index plus a spread and the spread was typically consistent with those demanded in the market. Accordingly, the interest rates on these secured loans were at market, and thus the carrying amount approximated fair value. We fully repaid our secured loans during the year ended December 31, 2020. |
Related Party Transactions
Related Party Transactions | 12 Months Ended |
Dec. 31, 2020 | |
Related Party Transactions [Abstract] | |
Related Party Transactions | Related Party Transactions Our Manager is at all times subject to the supervision and oversight of our Board of Directors and has only such functions and authority as we delegate to it. Under the terms of our management agreement, our Manager and its affiliates provide us with our management team, including our officers and appropriate support personnel. Each of our officers is an employee of our Manager or one of its affiliates. We do not have any employees. Our Manager is not obligated to dedicate any of its employees exclusively to us, nor is our Manager obligated to dedicate any specific portion of time to our business. During the year ended December 31, 2020, we reimbursed our Manager $968,000 (2019: $888,000; 2018: $779,000) for costs of support personnel. We have invested $1.9 million as of December 31, 2020 (2019: $154.0 million) in money market or mutual funds managed by affiliates of our Manager. The investments are reported as cash and cash equivalents on our consolidated balance sheets as they are highly liquid and have original or remaining maturities of three months or less when purchased. During the year ended December 31, 2020, we sold non-Agency CMBS to affiliates of our Manager for cash proceeds of $40.0 million and recognized a realized gain of $4.1 million. Management Fee Effective October 1, 2019, our management fee is equal to 1.50% of our stockholders' equity per annum. For purposes of calculating the management fee, stockholders' equity is calculated as average month-end stockholders' equity for the prior calendar quarter as determined in accordance with U.S. GAAP. Stockholders' equity may exclude one-time events due to changes in U.S. GAAP and certain non-cash items upon approval by a majority of our independent directors. We do not pay any management fees on our investments in unconsolidated ventures that are managed by an affiliate of our Manager. Expense Reimbursement We are required to reimburse our Manager for operating expenses incurred on our behalf, including directors and officers insurance, accounting services, auditing and tax services, filing fees, and miscellaneous general and administrative costs. Our reimbursement obligation is not subject to any dollar limitation. The following table summarizes the costs incurred on our behalf by our Manager for the years ended December 31, 2020, 2019 and 2018. Years ended December 31, $ in thousands 2020 2019 2018 Incurred costs, prepaid or expensed 10,845 7,343 6,483 Incurred costs, charged against equity as a cost of raising capital 239 950 230 Total incurred costs, originally paid by our Manager 11,084 8,293 6,713 Termination Fee If we terminate our management agreement, we owe our Manager a termination fee equal to three times the sum of our average annual management fee during the 24-month period before termination, calculated as of the end of the most recently completed fiscal quarter. |
Stockholders' Equity
Stockholders' Equity | 12 Months Ended |
Dec. 31, 2020 | |
Equity [Abstract] | |
Stockholders' Equity | Stockholders’ Equity Preferred Stock Holders of our Series A Preferred Stock are entitled to receive dividends at an annual rate of 7.75% of the liquidation preference of $25.00 per share or $1.9375 per share per annum. Dividends are cumulative and payable quarterly in arrears. Holders of our Series B Preferred Stock are entitled to receive dividends at an annual rate of 7.75% of the liquidation preference of $25.00 per share or $1.9375 per share per annum until December 27, 2024. After December 27, 2024, holders are entitled to receive dividends at a floating rate equal to three-month LIBOR plus a spread of 5.18% of the $25.00 liquidation preference per annum. Dividends are cumulative and payable quarterly in arrears. Holders of our Series C Preferred Stock are entitled to receive dividends at an annual rate of 7.50% of the liquidation preference of $25.00 per share or $1.875 per share per annum until September 27, 2027. After September 27, 2027, holders are entitled to receive dividends at a floating rate equal to three-month LIBOR plus a spread of 5.289% of the $25.00 liquidation preference per annum. Dividends are cumulative and payable quarterly in arrears. As of July 2017, we have the option to redeem shares of our Series A Preferred Stock for $25.00 per share, plus any accumulated and unpaid dividends through the date of redemption. We have the option to redeem shares of our Series B Preferred Stock after December 27, 2024 and shares of our Series C Preferred Stock after September 27, 2027 for $25.00 per share, plus any accumulated and unpaid dividends through the date of the redemption. Shares of Series B and Series C Preferred Stock are not redeemable, convertible into or exchangeable for any other property or any other securities of the Company before those times, except under circumstances intended to preserve our qualification as a REIT or upon the occurrence of a change in control. As of December 31, 2020, we may sell up to 7,000,000 shares of our preferred stock from time to time in at-the-market or privately negotiated transactions under an equity distribution agreement with a placement agent. These shares are registered with the SEC under our shelf registration statement (as amended and/or supplemented). We have not sold any shares of preferred stock under the equity distribution agreement. Common Stock As of December 31, 2020, we may sell up to 37,610,000 shares of our common stock from time to time in at-the-market or privately negotiated transactions. These shares are registered with the SEC under our shelf registration statement (as amended and/or supplemented). During the year ended December 31, 2020, we sold 21,849,740 shares (2019: 2,540,260 shares) of common stock under our equity distribution agreements for proceeds of $73.7 million (2019: $40.1 million) net of approximately $1.2 million (2019: $846,000) in commissions and fees. Share Repurchase Program During the year ended December 31, 2020 and December 31, 2019, we did not repurchase any shares of our common stock. During the year ended December 31, 2018, we repurchased 75,100 shares of our common stock as described in Note 14 “Note 14 - Non-Controlling Interest - Operating Partnership”. As of December 31, 2020, we had authority to purchase 18,163,982 shares of our common stock through our share repurchase program. Accumulated Other Comprehensive Income The following tables present the components of total other comprehensive income (loss), net and accumulated other comprehensive income (“AOCI”) at December 31, 2020 and December 31, 2019, respectively. The tables exclude gains and losses on MBS and GSE CRTs that are accounted for under the fair value option. December 31, 2020 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income (loss), net: Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — (223,416) — (223,416) Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 13,940 — 13,940 Reclassification of unrealized loss on available-for-sale securities to (increase) decrease in provision for credit losses 1,768 1,768 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (23,794) (23,794) Currency translation adjustments on investment in unconsolidated venture 1,144 — — 1,144 Total other comprehensive income (loss), net 1,144 (207,708) (23,794) (230,358) AOCI balance at beginning of period (645) 213,701 75,907 288,963 Total other comprehensive income/(loss), net 1,144 (207,708) (23,794) (230,358) AOCI balance at end of period 499 5,993 52,113 58,605 December 31, 2019 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income (loss), net: Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — 83,965 — 83,965 Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 9,072 — 9,072 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (23,729) (23,729) Currency translation adjustments on investment in unconsolidated venture (1,158) — — (1,158) Total other comprehensive income (loss), net (1,158) 93,037 (23,729) 68,150 AOCI balance at beginning of period 513 120,664 99,636 220,813 Total other comprehensive income/(loss), net (1,158) 93,037 (23,729) 68,150 AOCI balance at end of period (645) 213,701 75,907 288,963 Amounts recorded in AOCI before we discontinued cash flow hedge accounting for our interest rate swaps are reclassified to interest expense on repurchase agreements on the consolidated statements of operations as interest is accrued and paid on the related repurchase agreements over the remaining original life of the interest rate swap agreements. Dividends We declared the following dividends during 2020 and 2019: $ in thousands, except per share amounts Dividends Declared Series A Preferred Stock Per Share In Aggregate Date of Payment 2020 November 5, 2020 0.4844 2,713 January 25, 2021 September 10, 2020 0.4844 2,713 October 26, 2020 June 17, 2020 0.4844 2,712 July 27, 2020 March 17, 2020 0.4844 2,713 May 22, 2020 2019 December 16, 2019 0.4844 2,712 January 27, 2020 September 16, 2019 0.4844 2,713 October 25, 2019 June 17, 2019 0.4844 2,712 July 25, 2019 March 18, 2019 0.4844 2,713 April 25, 2019 Dividends Declared Series B Preferred Stock Per Share In Aggregate Date of Payment 2020 November 5, 2020 0.4844 3,003 December 28, 2020 August 5, 2020 0.4844 3,003 September 28, 2020 May 9, 2020 0.4844 3,004 June 29, 2020 February 18, 2020 0.4844 3,003 May 22, 2020 2019 November 5, 2019 0.4844 3,003 December 27, 2019 August 1, 2019 0.4844 3,003 September 27, 2019 May 3, 2019 0.4844 3,004 June 27, 2019 February 14, 2019 0.4844 3,003 March 27, 2019 Dividends Declared Series C Preferred Stock Per Share In Aggregate Date of Payment 2020 November 5, 2020 0.46875 5,391 December 28, 2020 August 5, 2020 0.46875 5,391 September 28, 2020 May 9, 2020 0.46875 5,390 June 29, 2020 February 18, 2020 0.46875 5,391 May 22, 2020 2019 November 5, 2019 0.46875 5,391 December 27, 2019 August 1, 2019 0.46875 5,391 September 27, 2019 May 3, 2019 0.46875 5,390 June 27, 2019 February 14, 2019 0.46875 5,391 March 27, 2019 Common Stock Dividends Declared Per Share In Aggregate Date of Payment 2020 December 28, 2020 0.08 16,258 January 26, 2021 September 30, 2020 0.05 9,070 October 27, 2020 June 17, 2020 0.02 3,626 July 28, 2020 March 17, 2020 0.50 82,483 June 30, 2020 2019 December 16, 2019 0.50 72,132 January 28, 2020 September 16, 2019 0.45 64,261 October 28, 2019 June 17, 2019 0.45 57,958 July 26, 2019 March 18, 2019 0.45 57,720 April 26, 2019 On May 9, 2020, our board of directors approved payment of our common stock dividend that was declared on March 17, 2020 in a combination of cash and shares of our common stock. Stockholders had the opportunity to elect payment of the dividend all in cash or all in common shares, subject to a limit of 10% or approximately $8.2 million of cash in the aggregate (excluding any cash paid in lieu of issuing fractional shares). On June 30, 2020, we paid the dividend through the issuance of 16,338,511 shares of common stock and the payment of approximately $8.2 million in cash. The number of shares included in the dividend was calculated based on the $4.5435 volume weighted average trading price of our common stock on the New York Stock Exchange on June 17, 18 and 19, 2020. The following table sets forth the dividends declared per share of our preferred and common stock and their related tax characterization for the fiscal tax years ended December 31, 2020 and 2019. Tax Characterization of Dividends Fiscal Tax Year Dividends Declared Ordinary Dividends Return of Capital Capital Gain Distribution Carry Forward Series A Preferred Stock Dividends Fiscal tax year 2020 (1) 1.937600 — 1.937600 — — Fiscal tax year 2019 (2) 1.937600 — 1.937600 — — Series B Preferred Stock Dividends Fiscal tax year 2020 1.937600 — 1.937600 — — Fiscal tax year 2019 1.937600 — 1.937600 — — Series C Preferred Stock Dividends Fiscal tax year 2020 1.875000 — 1.875000 — — Fiscal tax year 2019 1.875000 — 1.875000 — — Common Stock Dividends Fiscal tax year 2020 (3) 0.650000 — 0.570000 — 0.080000 Fiscal tax year 2019 (4) 1.850000 — 1.350000 — 0.500000 (1) Excludes preferred stock dividend of $0.4844 per share declared on November 5, 2020 that has a record date of January 1, 2021. This dividend is a 2021 dividend for federal income tax purposes. (2) Excludes preferred stock dividend of $0.4844 per share declared on December 16, 2019 that had a record date of January 1, 2020. This dividend is a 2020 dividend for federal income tax purposes. (3) Our fourth quarter dividend declared on December 28, 2020 that has a record date of January 12, 2021 was paid on January 26, 2021. This dividend is a 2021 dividend for federal income tax purposes. (4) Our fourth quarter dividend declared on December 16, 2019 that had a record date of December 27, 2019 was paid on January 28, 2020. This dividend is a 2020 dividend for federal income tax purposes and is characterized as a return of capital. |
Earnings per Common Share
Earnings per Common Share | 12 Months Ended |
Dec. 31, 2020 | |
Earnings Per Share [Abstract] | |
Earnings per Common Share | Earnings per Common Share Earnings per share for the years ended December 31, 2020, 2019 and 2018 is computed as follows: In thousands except per share amounts Years Ended December 31, 2020 2019 2018 Numerator (Income) Basic Earnings: Net income (loss) available to common stockholders (1,718,778) 319,675 (115,216) Denominator (Weighted Average Shares) Basic Earnings: Shares available to common stockholders 173,730 132,306 111,637 Effect of dilutive securities: Restricted stock awards — 12 — Dilutive Shares 173,730 132,318 111,637 Earnings (loss) per share: Net income (loss) attributable to common stockholders Basic (9.89) 2.42 (1.03) Diluted (9.89) 2.42 (1.03) The following potential weighted average shares were excluded from diluted earnings per share as the effect would be anti-dilutive. For the year ended December 31, 2020: 11,017 for restricted stock awards. For the year ended December 31, 2018: 14,404 for restricted stock awards, 1,184,373 for the exchangeable senior notes and 1,300,068 for non-controlling interest. |
Non-controlling Interest - Oper
Non-controlling Interest - Operating Partnership | 12 Months Ended |
Dec. 31, 2020 | |
Noncontrolling Interest [Abstract] | |
Non-controlling Interest - Operating Partnership | Non-controlling Interest – Operating Partnership Through November 30, 2018, non-controlling interest represented an approximately 1.3% aggregate ownership interest of a wholly-owned Invesco subsidiary in our Operating Partnership. The ownership percentage was determined by dividing the number of OP Units held by the Unit Holders by the total number of dilutive shares of common stock. The issuance or repurchase of common stock (“Share” or “Shares”) or OP Units changed the percentage ownership of both the Unit Holders and the common stockholders. Since an OP Unit was generally redeemable for cash or Shares at our option, it was deemed to be a Share equivalent. Therefore, such transactions were treated as capital transactions and resulted in a reallocation between stockholders’ equity and non-controlling interest in our consolidated balance sheets. On November 30, 2018, we redeemed all of the OP Units held by the non-controlling interest holder for $21.8 million. We also repurchased 75,100 shares of common stock owned by Invesco for $1.1 million. The redemption price for the OP Units and common stock was equal to the market value of an equivalent number of shares of our registered common stock. We accounted for the redemption of the OP Units as an equity transaction and reallocated the components of accumulated other comprehensive income to us. No gain or loss was recognized on the transaction. The following table summarizes the effect of changes in our ownership interest in our Operating Partnership on our equity. Year ended December 31, $ in thousands 2018 Net income (loss) attributable to Invesco Mortgage Capital Inc. (70,790) Transfers from non-controlling interest: Decrease in additional paid-in capital due to purchase of OP Units (798) Net transfers from non-controlling interest (798) Change from net income (loss) attributable to Invesco Mortgage Capital Inc. common stockholders and transfers (to) from non-controlling interest (71,588) Before redemption of the OP Units, income was allocated to the non-controlling interest based on the Unit Holders’ ownership percentage of the Operating Partnership. The following table presents the net income (loss) allocated and distributions paid to the Operating Partnership non-controlling interest for the year ended December 31, 2018. Years ended December 31, $ in thousands 2018 Net income (loss) allocated 254 Distributions paid 2,394 |
Commitments and Contingencies
Commitments and Contingencies | 12 Months Ended |
Dec. 31, 2020 | |
Commitments and Contingencies Disclosure [Abstract] | |
Contingencies and Contingencies | Commitments and Contingencies Commitments and contingencies may arise in the ordinary course of business. Our material off balance sheet commitments and contingencies as of December 31, 2020 are discussed below. As discussed in Note 5 - “Other Assets”, we have invested in unconsolidated ventures that are sponsored by an affiliate of our Manager. The unconsolidated ventures are structured as partnerships, and we invest in the partnerships as a limited partner. The entities are structured such that capital commitments are to be drawn down over the life of the partnership as investment opportunities are identified. As of December 31, 2020, our undrawn capital and purchase commitments were $6.8 million. |
Subsequent Events
Subsequent Events | 12 Months Ended |
Dec. 31, 2020 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events Common Stock On February 4, 2021, we completed a public offering of 27,600,000 shares of common stock at the price of $3.75 per share. Total net proceeds were approximately $103.1 million after deducting estimated offering costs. Dividends We declared the following dividends on February 19, 2021: a Series A Preferred Stock dividend of $0.4844 per share payable on April 26, 2021 to our stockholders of record as of April 1, 2021, a Series B Preferred Stock dividend of $0.4844 per share payable on March 29, 2021 to our stockholders of record as of March 5, 2021, and a Series C Preferred Stock dividend of $0.46875 per share payable on March 29, 2021 to our stockholders of record on March 5, 2021. Commercial Loan Modification In February 2021, we received a request to modify the terms of our commercial loan and extend the contractual maturity of the commercial loan to February 2022. We are currently negotiating the terms of the modification and expect to extend the term of the loan to February 28, 2022. |
Schedule IV Mortgage Loans on R
Schedule IV Mortgage Loans on Real Estate | 12 Months Ended |
Dec. 31, 2020 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract] | |
Schedule IV Mortgage Loans on Real Estate | INVESCO MORTGAGE CAPITAL INC. AND SUBSIDIARIES Schedule IV Mortgage Loans on Real Estate As of December 31, 2020 $ in thousands Asset Type Property Type Location Interest Rate Maturity Date Periodic Payment Terms (1) Prior Liens Face Amount of Mortgages Carrying Amount of Mortgages Principal Amount of Loans Subject to Delinquent Principal or Interest Mezzanine Loan Hotel TX L + 8.5% 2/28/2021 I — 23,919 23,098 — 23,919 23,098 (2) — (1) Interest (“I”) only until stated maturity of the loan. (2) The aggregate cost for federal income tax purposes is $23.9 million. Reconciliation of Carrying Value of Mortgage Loans on Real Estate: 2020 2019 2018 Beginning balance 24,055 31,582 191,808 Additions: Originations and purchases of new loans — — 1,677 Amortization of commercial loan origination fees and premium (discount) — — 91 Deductions: Collection of principal 136 7,527 160,934 Unrealized loss, net 821 — — Loss on foreign currency revaluation — — 1,060 Ending balance 23,098 24,055 31,582 |
Summary of Significant Accoun_2
Summary of Significant Accounting Policies (Policies) | 12 Months Ended |
Dec. 31, 2020 | |
Accounting Policies [Abstract] | |
Basis of Presentation and Consolidation | Basis of Presentation and ConsolidationOur consolidated financial statements have been prepared in accordance with generally accepted accounting principles in the United States of America (“U.S. GAAP”) and consolidate the financial statements of the Company and our controlled subsidiaries. All significant intercompany transactions, balances, revenues and expenses are eliminated upon consolidation. In the opinion of management, the consolidated financial statements reflect all adjustments, consisting of normal recurring accruals, which are necessary for a fair statement of our financial condition and results of operations for the periods presented. |
Use of Estimates | Use of Estimates The preparation of consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the amounts reported in our consolidated financial statements and accompanying notes. Examples of estimates include, but are not limited to, estimates of the fair values of financial instruments, interest income on mortgage-backed and credit risk transfer securities and allowances for credit losses. Actual results may differ from those estimates. |
Translation of Foreign Currencies | Translation of Foreign Currencies The functional currency of the Company and its subsidiaries is U.S. dollars. Transactions in foreign currencies are recorded at the rates of exchange prevailing on the date of the transactions. At each balance sheet date, monetary assets and liabilities that are denominated in foreign currencies are remeasured at the rates prevailing at the balance sheet date. Gains and losses arising on revaluation are included in other investment income (loss), net on the consolidated statements of operations. During the year ended December 31, 2018 we incurred foreign currency losses of $930,000 primarily related to the revaluation of a commercial loan investment denominated in Pound Sterling. This commercial loan was repaid by the borrower during 2018. Our reporting currency is U.S. dollars. Upon consolidation, the assets and liabilities of our investment in an unconsolidated venture whose functional currency is the Euro is translated to U.S. dollars using the period-end exchange rates. Equity accounts are translated at historical rates, except for the change in retained earnings during the year, which is the result of the income statement translation process. Revenue and expense accounts are translated using the weighted average exchange rate during the period. The cumulative translation adjustments associated with the investment in the unconsolidated venture are recorded in accumulated other comprehensive income (loss), a component of consolidated stockholders’ equity. |
Fair Value Measurements | Fair Value Measurements We report our MBS and GSE CRTs and derivative assets and liabilities at fair value as determined by an independent pricing service. We generally obtain one price per instrument from our primary pricing service. If the primary pricing service cannot provide a price, we will seek a value from other pricing services. The pricing service uses two types of valuation approaches to determine the valuation of our various mortgage-backed and credit risk transfer securities: a market approach, which uses observable prices and other relevant information that is generated by market transactions involving identical or comparable assets or liabilities; and an income approach, which uses valuation techniques to convert future amounts to a single, discounted present value amount. In instances where sufficient market activity may not exist, the pricing service may utilize proprietary valuation models that may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics to estimate relevant cash flows, which are then discounted to calculate the fair values. Observable inputs may include a combination of benchmark yields, executed trades, broker/dealer quotes, issuer spreads, bids, offers and benchmark securities. In addition, the valuation models utilized by pricing services may consider additional pool level information such as prepayment speeds, default frequencies and default severities, if applicable. We and the pricing service continuously monitor market indicators and economic events to determine whether they may have an impact on our valuations. The pricing service values interest rate swaps, U.S. Treasury futures (“futures”), currency forward contracts and to-be-announced securities (“TBAs”) under the market approach through the use of quoted prices available in an active market. Overrides of prices from pricing services are rare in the current market environment for the assets we hold. Examples of instances that would cause an override include if we recently traded the same security or there is an indication of market activity that would cause the pricing service price to no longer be indicative of fair value. In the rare instance where a price is adjusted, we have a control process to monitor the reason for such adjustment. To gain comfort that pricing service prices are representative of current market information, we compare the transaction prices of security purchases and sales to the valuation levels provided by the pricing services. Price differences exceeding pre-defined tolerance levels are identified and investigated and may be challenged. Trends are monitored over time and if there are indications that the valuations are not comparable to market activity, the pricing services are asked to provide detailed information regarding their methodology and inputs. Transparency tools are also available from the pricing services which help us understand data points and/or market inputs used for pricing securities. We also review daily price movements for interest rate swaps, futures, currency forward contracts and TBAs. Price movements exceeding pre-defined tolerance levels are investigated using an alternate price from another pricing service as well as available market information. Based on our findings, the primary pricing service may be challenged, or in rare cases, overridden with an alternate pricing source. In addition, we perform due diligence procedures on all pricing services on at least an annual basis. A questionnaire is sent to pricing services which requests information such as changes in methodologies, business recovery preparedness, internal controls and confirmation that evaluations are generated based on market data. Physical visits are also made to each pricing service's office. An independent pricing service values our commercial loan using a discounted cash flow analysis. The yield used in the discounted cash flow analysis is determined by comparing the features of the loan to the interest rates and terms required by lenders in the new loan origination market for similar loans and the yield required by investors acquiring mezzanine loans in the secondary market as well as a comparison of current market and collateral conditions to those present at origination. As described in Note 10 - “Fair Value of Financial Instruments,” we evaluate the source used to fair value our assets and liabilities and make a determination on its categorization within the fair value hierarchy. If the price of a security is obtained from quoted prices for identical instruments in active markets, the security is classified as a level 1 security. If the price of a security is obtained from quoted prices for similar instruments or model-derived valuations whose inputs are observable, the |
Mortgage-Backed and Credit Risk Transfer Securities | Mortgage-Backed and Credit Risk Transfer Securities We record our purchases of MBS and GSE CRTs on the trade date and report these securities at fair value as described above in the Fair Value Measurements section of this Note 2 to our consolidated financial statements. Although we generally intend to hold most MBS and GSE CRTs until maturity, we may sell any of these securities prior to maturity as part of our overall management of our investment portfolio. Approximately $8.1 billion (99%) of our MBS and GSE CRTs are accounted for under the fair value option as of December 31, 2020 (December 31, 2019: $17.4 billion or 80%). Under the fair value option, we recognize changes in fair value in our consolidated statements of operations as unrealized gains and losses. In our view, this election more appropriately reflects the results of our operations because MBS and GSE CRT fair value changes are accounted for in the same manner as fair value changes in our economic hedging instruments. We elected the fair value option for all MBS purchased on or after September 1, 2016, GSE CRTs purchased on or after August 24, 2015 and all RMBS interest-only securities. We classify the remaining balance of our MBS and GSE CRTs as available-for-sale ($116.9 million or 1% as of December 31, 2020; $4.4 billion or 20% as of December 31, 2019). Unrealized gains or losses on available-for-sale securities are recorded in accumulated other comprehensive income, a separate component of stockholders' equity, until sale or disposition of the investment. Upon sale or disposition, the cumulative gain or loss previously reported in stockholders' equity is recognized in income. Realized gains and losses from sales of MBS are determined based upon the specific identification method. GSE CRTs purchased before August 24, 2015 were reported at fair value but are accounted for as hybrid financial instruments consisting of a debt host contract and an embedded derivative. Unrealized gains or losses arising from changes in fair value of the debt host contract, excluding other-than-temporary impairment, were recognized in accumulated other comprehensive income until sale or disposition of the investment. Upon sale or disposition of the debt host contract, the cumulative gain or loss previously reported in stockholders’ equity was recognized in income. Realized and unrealized gains or losses arising from changes in fair value of the embedded derivative were recognized in realized and unrealized credit derivative income (loss), net in our consolidated statements of operations. We elect the fair value option for GSE CRTs purchased on or after August 24, 2015 due to the complexities associated with bifurcation of GSE CRTs into a debt host contract and an embedded derivative. Realized gains and losses from sales of GSE CRTs are determined based upon the specific identification method. Our interest income recognition policies for MBS and GSE CRTs are described below in the Interest Income Recognition section of this Note 2 to our consolidated financial statements. Allowances for Credit Losses on Available-for-Sale Securities We are not required to measure expected credit losses for situations in which historic credit loss information, adjusted for current conditions and reasonable and supportable forecasts, results in an expectation that nonpayment of the amortized cost basis is zero. We consider our Agency portfolio to have zero loss expectation because (i) there have been no historical credit losses, (ii) full and timely payment of principal and interest is guaranteed by the GSEs and (iii) the yields, while not risk free, generally trade based on prepayment and liquidity risk as opposed to credit risk. For non-Agency RMBS and non-Agency CMBS, we use a discounted cash flow method to estimate and recognize an allowance for credit losses. We calculate the allowance for credit losses as the difference between the investment's amortized cost basis and expected cash flows discounted at the effective interest rate used to recognize interest income on the investment. In developing an expectation of credit losses, we use internal models that analyze the loans underlying each investment and evaluate factors including, but not limited to, delinquency status, loan-to-value ratios, borrower credit scores, occupancy status and geographic concentration. We place reliance on these internal models in determining credit quality. We record an allowance for credit losses as a contra-asset on the consolidated balance sheets and a provision for credit losses in the consolidated statements of operations. Credit losses are accreted into earnings over time at the effective interest rate used to recognize interest income. Subsequent favorable or adverse changes in the amount of expected credit losses are recognized immediately in earnings. If the allowance for credit losses has been reduced to zero, we reflect the remaining favorable changes as a prospective adjustment to the effective interest rate of the investment. The allowance for credit losses is limited to the amount by which the investment’s amortized cost exceeds fair value. When the allowance for credit losses is limited, the effective interest rate used to recognize interest income and accrete credit losses is prospectively adjusted. We do not record an allowance for credit losses when an investment’s fair value exceeds its amortized cost. Recoveries of amounts previously written off relating to improvements in cash flows are recognized in earnings when received. We record provisions for credit losses, reductions in provisions for credit losses, accretion of credit losses, and recoveries of amounts previously written off within (increase) decrease in provision for credit losses in our consolidated statements of operations. |
Commercial Loans Held-For-Investment | Commercial Loans Held-For-InvestmentAs of January 1, 2020, we report our one commercial loan at fair value as described in the Fair Value Measurements section of this Note 2 to the consolidated financial statements with changes in fair value reported within gain (loss) on investments, net in our consolidated statements of operations. Before January 1 2020, we carried commercial loans held-for-investment at amortized cost, net of any provision for loan losses. |
Interest Income Recognition | Interest Income Recognition Mortgage-Backed Securities Interest income on MBS is accrued based on the outstanding principal or notional balance of the securities and their contractual terms. Premiums or discounts are amortized or accreted into interest income over the life of the investment using the effective interest method. Interest income on our MBS where we may not recover substantially all of our initial investment is based on estimated future cash flows. We estimate future expected cash flows at the time of purchase and determine the effective interest rate based on these estimated cash flows and our purchase price. Over the life of the investments, we update these estimated future cash flows and compute a revised yield based on the current amortized cost of the investment, unless those changes are reflected in an allowance for credit losses. In situations where an allowance for credit losses is limited by the fair value of the investment, we compute the yield as the rate that equates expected future cash flows to the current fair value of the investment. In estimating these future cash flows, there are a number of assumptions that are subject to uncertainties and contingencies, including but not limited to the rate and timing of principal payments (prepayments, repurchases, defaults and liquidations), the pass through or coupon rate, and interest rate fluctuations. These uncertainties and contingencies are difficult to predict and are subject to future events that may impact our estimate and our interest income. Changes in our original or most recent cash flow projections may result in a prospective change in interest income recognized on these securities, or the amortized cost of these securities, including write-offs of amortized cost when certain amounts are deemed uncollectible. For non-Agency RMBS not of high credit quality, when actual cash flows vary from expected cash flows, the difference is recorded as an adjustment to the amortized cost of the security, unless those changes are reflected in an allowance for credit losses, and the security's yield is revised prospectively. For Agency RMBS and Agency CMBS that cannot be prepaid in such a way that we would not recover substantially all of our initial investment, interest income recognition is based on contractual cash flows. We do not estimate prepayments in applying the effective interest method. Credit Risk Transfer Securities Interest income on GSE CRTs purchased before August 24, 2015 was accrued based on the coupon rate of the debt host contract which reflected the credit risk of GSE unsecured senior debt with a similar maturity. Premiums or discounts associated with the purchase of GSE CRTs were amortized or accreted into interest income over the life of the debt host contract using the effective interest method. The difference between the coupon rate on the hybrid instrument and the coupon rate on the debt host contract was considered premium income associated with the embedded derivative and was recorded in realized and unrealized credit derivative income (loss), net in our consolidated statements of operations. Interest income on GSE CRTs purchased on or after August 24, 2015 is based on estimated future cash flows. Commercial and Other Loans We recognize interest income from commercial and other loans when earned and deemed collectible, or until a loan becomes past due based on the terms of the loan agreement. Any related origination fees or costs on commercial and others loans for which we have elected the fair value option are recognized immediately in earnings. Before our decision to elect the fair value option for commercial and other loans, any related origination fees, net of origination cost were amortized into interest income using the effective interest method over the life of the loan. Interest received after a loan becomes past due or impaired is used to reduce the outstanding loan principal balance. When a delinquent loan previously placed on nonaccrual status has cured, meaning all delinquent principal and interest have been remitted by the borrower, the loan is placed back on |
Cash and Cash Equivalents, Restricted Cash | Cash and Cash Equivalents We consider all highly liquid investments that have original or remaining maturity dates of three months or less when purchased to be cash equivalents. At December 31, 2020, we had cash and cash equivalents in excess of the FDIC deposit insurance limit of $250,000 per institution. We mitigate our risk of loss by actively monitoring our counterparties. Restricted Cash Restricted cash represents cash posted with counterparties as collateral for various derivative instruments. Cash posted with counterparties as collateral is not available for general corporate purposes. |
Due from Counterparties/Collateral Held Payable | Due from Counterparties / Collateral Held PayableDue from counterparties represents cash posted with our counterparties as collateral for our derivatives and repurchase agreements. Collateral held payable represents cash posted with us by counterparties as collateral under our derivatives and repurchase agreements. To the extent we receive collateral other than cash from our counterparties, such assets are not included in our consolidated balance sheets. Notwithstanding the foregoing, if we either sell such assets or pledge the assets as collateral pursuant to a repurchase agreement, the cash received and the corresponding liability is reflected on the consolidated balance sheets |
Investment Related Receivable / Investment Related Payable | Investment Related Receivable / Investment Related Payable Investment related receivable consists of receivables for mortgage-backed and credit risk transfer securities that we have sold but have not settled with the buyer and accrued interest and principal paydowns on mortgage-backed and credit risk transfer securities. Accrued interest receivable was $15.6 million and $67.6 million as of December 31, 2020 and 2019, respectively. Investment related payable consists of liabilities for mortgage-backed and credit risk transfer securities that we have purchased but have not settled with the seller. |
Investments in Unconsolidated Ventures | Investments in Unconsolidated VenturesOur non-controlling investments in unconsolidated ventures are included in other assets in our consolidated balance sheets and are accounted for under the equity method. Capital contributions, distributions, profits and losses of the entities are allocated in accordance with the terms of the entities’ operating agreements. Such allocations may differ from the stated percentage interests, if any, as a result of preferred returns and allocation formulas as described in the entities' operating agreements. |
Repurchase Agreements | Repurchase Agreements We finance our purchases of mortgage-backed and credit risk transfer securities primarily through the use of repurchase agreements. Repurchase agreements are treated as collateralized financing transactions and are carried at their contractual amounts, including accrued interest, as specified in the respective agreements. We record the mortgage-backed and credit risk transfer securities and the related repurchase agreement financing on a gross basis in our consolidated balance sheets, and the corresponding interest income and interest expense on a gross basis in our consolidated statements of operations. |
Secured Loans | Secured Loans Our wholly-owned subsidiary, IAS Services LLC, was a member of the FHLBI. As a member of the FHLBI, IAS Services LLC borrowed funds from the FHLBI in the form of secured advances. FHLBI advances were treated as secured financing transactions and carried at their contractual amounts. IAS Services LLC was dissolved in December 2020. |
Dividends Payable | Dividends PayableDividends payable represent dividends declared at the balance sheet date which are payable to common stockholders and preferred stockholders. |
Earnings (Loss) per Share | Earnings (Loss) per Share We calculate basic earnings (loss) per share by dividing net income (loss) attributable to common stockholders for the period by the weighted-average number of shares of our common stock outstanding for that period. Diluted earnings per share takes into account the effect of dilutive instruments, such as Operating Partnership Units (“OP Units”), exchangeable senior notes, and unvested restricted stock awards and uses the average share price for the period in determining the number of incremental shares that are to be added to the weighted-average number of shares outstanding. |
Share-Based Compensation | Share-Based Compensation Under the terms of our 2009 Equity Incentive Plan (the “Incentive Plan”), our independent directors are eligible to receive quarterly stock awards as part of their compensation for serving as directors, In addition, we may compensate the officers and employees of our Manager and its affiliates under the Incentive Plan under the terms of our management agreement. |
Underwriting Commissions and Offering Costs | Underwriting Commissions and Offering Costs Underwriting commissions and direct costs incurred in connection with our common and preferred stock offerings are recorded as a reduction of additional paid-in-capital and preferred stock, respectively. |
Comprehensive Income | Comprehensive Income Our comprehensive income consists of net income, as presented in the consolidated statements of operations, adjusted for unrealized gains and losses on MBS purchased before September 1, 2016 and the debt host contract associated with GSE CRTs purchased before August 24, 2015; reclassification of unrealized losses on available-for-sale securities to (increase) decrease in provision for credit losses; reclassification of amortization of net deferred gains and losses on de-designated interest rate swaps to repurchase agreements interest expense and currency translation adjustments on an investment in an unconsolidated venture. Unrealized gains and losses on our MBS purchased before September 1, 2016 and the debt host contract associated with GSE CRTs purchased before August 24, 2015 were reclassified into net income upon their sale. |
Accounting for Derivative Financial Instruments | Accounting for Derivative Financial Instruments We record all derivatives on our consolidated balance sheets at fair value. At the inception of a derivative contract, we determine whether the instrument will be part of a qualifying hedge accounting relationship or whether we will account for the contract as a trading instrument. We have elected not to apply hedge accounting to all new derivative contracts entered into after January 1, 2014. Changes in the fair value of our derivatives are recorded in gain (loss) on derivative instruments, net in our consolidated statements of operations. Net interest paid or received under our interest rate swaps is also recognized in gain (loss) on derivative instruments, net in our consolidated statements of operations. Before 2014, we applied hedge accounting to our interest rate swap agreements. Effective December 31, 2013, we voluntarily discontinued hedge accounting for our interest rate swap agreements by de-designating the interest rate swaps as cash flow hedges. As long as we expect the forecasted transactions that were being hedged (i.e., rollovers of our repurchase agreement borrowings) to still occur, the balance recorded in accumulated other comprehensive income (loss) (“AOCI”) from the interest rate swap activity through December 31, 2013 will remain in AOCI and be recognized in our consolidated statements of operations as interest expense over the remaining term of the interest rate swaps. Prior to December 31, 2020, we were a party to hybrid financial instruments that contained embedded derivative instruments and for which we did not elect the fair value option. We assessed at inception whether the economic characteristics of the embedded derivative instruments were clearly and closely related to the economic characteristics of the remaining component of the financial instrument (i.e., the debt host contract), whether the financial instrument was remeasured to fair value through earnings and whether a separate instrument with the same terms as the embedded instrument would meet the definition of a derivative instrument. When it was determined that (1) the embedded instrument possessed economic characteristics that were not clearly and closely related to the economic characteristics of the debt host contract, (2) the financial instrument was not remeasured to fair value through earnings and (3) a separate instrument with the same terms would qualify as a derivative instrument, the embedded instrument qualified as an embedded derivative that was separated from the debt host contract. The embedded derivative was recorded at fair value, and changes in fair value were recorded in realized and unrealized credit derivative income (loss), net in our consolidated statements of operations. We evaluate the terms and conditions of our holdings of futures contracts, currency forward contracts and TBAs to determine if an instrument has the characteristics of an investment or should be considered a derivative under U.S. GAAP. Accordingly, futures contracts, currency forward contracts and TBAs having the characteristics of derivatives are accounted for at fair value with such changes recognized in gain (loss) on derivative instruments, net in the consolidated statements of operations. The fair value of these futures contracts, currency forward contracts and TBAs is included in derivative assets or derivative liabilities on the consolidated balance sheets. |
Income Taxes | Income Taxes We elected to be taxed as a REIT commencing with our taxable year ended December 31, 2009. Accordingly, we will generally not be subject to U.S. federal and applicable state and local corporate income tax to the extent that we make qualifying distributions to our stockholders, and provided we satisfy on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income, distribution and stock ownership tests. If we fail to qualify as a REIT and do not qualify for certain statutory relief provisions, we will be subject to U.S. federal, state and local income taxes and may be precluded from qualifying as a REIT for the four taxable years following the year in which we lost our REIT qualification. Accordingly, our failure to qualify as a REIT could have a material adverse impact on our results of operations and amounts available for distribution to stockholders. Our dividends paid deduction for qualifying dividends to our stockholders is computed using our REIT taxable income as opposed to net income reported on the consolidated financial statements. REIT taxable income will generally differ from net income because the determination of REIT taxable income is based on tax regulations and not financial accounting principles. We have elected to treat two of our subsidiaries as taxable REIT subsidiaries (“TRSs”). In general, TRSs may hold assets and engage in activities that we cannot hold or engage in directly and generally may engage in any real estate or non-real estate-related business. TRSs are subject to U.S. federal, state and local corporate income taxes. Our TRSs did not generate material taxable income for the years ended December 31, 2020, 2019 and 2018. We do not have any accruals for uncertain tax positions. We would recognize interest and penalties related to uncertain tax positions, if any, as income tax expense, which would be included in general and administrative expenses. |
Reclassifications | Reclassifications Certain prior period reported amounts have been reclassified to be consistent with the current presentation. Such reclassifications had no impact on total assets, net income or equity attributable to common stockholders. |
Accounting Pronouncements Recently Adopted and Pending Accounting Pronouncements | Accounting Pronouncements Recently Adopted On January 1, 2020, we adopted the accounting guidance that changes how entities report credit losses for assets measured at amortized cost and available-for-sale securities. The new guidance significantly changes how entities measure credit losses for most financial assets, including loans, that are not measured at fair value through net income. The guidance replaces the existing “incurred loss” model with an “expected loss” model for instruments measured at amortized cost and requires entities to record credit allowances for available-for-sale debt securities rather than reduce the carrying amount, as they previously did under the other-than-temporary impairment model. The new guidance also simplifies the accounting model for purchased credit-impaired debt securities and loans and requires that entities record an adjustment to retained earnings on January 1, 2020 for the cumulative effect of adopting the new guidance. We were not required to record a cumulative effect adjustment to retained earnings because all of our purchased credit-impaired securities were in an unrealized gain position as of the implementation date. The new guidance specifically excludes available-for-sale securities measured at fair value through net income. We elected the fair value option for all MBS purchased on or after September 1, 2016 and GSE CRTs purchased on or after August 24, 2015. Accordingly, the impact of the new guidance on accounting for our debt securities is limited to those securities purchased before election of the fair value option and held on January 1, 2020. For further information on the composition of our investment portfolio, see Note 4 - "Mortgage Backed and Credit Risk Transfer Securities". During the year ended December 31, 2020, we recorded $94.1 million of impairment on non-Agency securities that we intended to sell or more likely than not would be required to sell before we recovered the amortized cost basis of the security. We recorded the impairment within gain (loss) on investments, net in our consolidated statements of operations. As of December 31, 2020, we have recorded a $1.8 million allowance for credit losses. We had one commercial loan as of December 31, 2019 that was measured at amortized cost. We implemented the new guidance for this loan by electing the fair value option and recording a cumulative effect adjustment to increase retained earnings by $342,000 on January 1, 2020. During the year ended December 31, 2020, we recognized $1.2 million of unrealized losses on our commercial loan in our consolidated statement of operations. Pending Accounting Pronouncements In January 2021, the Financial Accounting Standards Board expanded existing accounting guidance for evaluating the effects of reference rate reform on financial reporting. The new guidance expands the temporary optional expedients and exceptions to U.S. GAAP for contract modifications, hedge accounting and other relationships that reference London Interbank Overnight Financing Rate ("LIBOR") to apply to all derivative instruments affected by the market-wide change in the interest rates used for discounting, margining or contract price alignment (commonly referred to as the discounting transition). The guidance can be applied as of January 1, 2020. We will evaluate our contracts that are eligible for modification relief and may apply the elections prospectively as needed. We are currently evaluating what impact the guidance will have on our consolidated financial statements. |
Variable Interest Entities ("_2
Variable Interest Entities ("VIEs") (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Variable Interest Entity Disclosure [Abstract] | |
Schedule of Maximum Risk of Loss | Our maximum risk of loss in VIEs in which we are not the primary beneficiary at December 31, 2020 is presented in the table below. $ in thousands Carrying Company's Maximum Risk of Loss Non-Agency CMBS 109,583 109,583 Non-Agency RMBS 11,733 11,733 Investments in unconsolidated ventures 16,408 16,408 Total 137,724 137,724 |
Mortgage-Backed and Credit Ri_2
Mortgage-Backed and Credit Risk Transfer Securities (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Investments, Debt and Equity Securities [Abstract] | |
Schedule of Investment Portfolio | The following tables summarize our MBS and GSE CRT portfolio by asset type at December 31, 2020 and 2019. December 31, 2020 $ in thousands Principal/ Notional Unamortized Amortized Allowance for Credit Losses Unrealized Fair Period- (1) Agency RMBS: 30 year fixed-rate 7,635,107 391,644 8,026,751 — 24,115 8,050,866 1.86 % Total Agency RMBS pass-through 7,635,107 391,644 8,026,751 — 24,115 8,050,866 1.86 % Agency-CMO (2) 19,634 (19,634) — — — — — % Non-Agency CMBS 112,549 (5,791) 106,758 (1,768) 4,593 109,583 9.40 % Non-Agency RMBS (3)(4)(5) 790,627 (779,660) 10,967 — 766 11,733 7.83 % Total 8,557,917 (413,441) 8,144,476 (1,768) 29,474 8,172,182 1.97 % (1) Period-end weighted average yield is based on amortized cost as of December 31, 2020 and incorporates future prepayment and loss assumptions. (2) All Agency collateralized mortgage obligation (“Agency-CMO”) are interest-only securities (“Agency IO”). (3) Non-Agency RMBS is 31.8% variable rate, 67.3% fixed rate and 0.9% floating rate based on fair value. Coupon payments on variable rate investments are based upon changes in the underlying Hybrid adjustable-rate mortgage ("ARM") loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index. (4) Of the total discount in non-Agency RMBS, $2.1 million is non-accretable calculated using the principal/notional balance and based on estimated future cash flows of the securities. (5) Non-Agency RMBS includes interest-only securities ("non-Agency IO”) which represent 98.8% of principal/notional balance, 49.3% of amortized cost and 41.5% of fair value. December 31, 2019 $ in thousands Principal/ Notional Unamortized Amortized Unrealized Fair Value Period- end Weighted Average Yield (1) Agency RMBS: 15 year fixed-rate 280,426 1,666 282,092 10,322 292,414 3.34 % 30 year fixed-rate 9,911,339 308,427 10,219,766 304,454 10,524,220 3.62 % Hybrid ARM 55,024 602 55,626 1,267 56,893 3.46 % Total Agency RMBS pass-through 10,246,789 310,695 10,557,484 316,043 10,873,527 3.61 % Agency-CMO (2) 883,122 (467,840) 415,282 12,230 427,512 3.54 % Agency CMBS (3) 4,561,276 75,299 4,636,575 131,355 4,767,930 3.01 % Non-Agency CMBS (4) 4,464,525 (772,295) 3,692,230 131,244 3,823,474 5.16 % Non-Agency RMBS (5)(6)(7) 2,340,119 (1,487,603) 852,516 103,155 955,671 6.98 % GSE CRT (8) 858,244 19,945 878,189 45,483 923,672 2.78 % Total 23,354,075 (2,321,799) 21,032,276 739,510 21,771,786 3.85 % (1) Period-end weighted average yield is based on amortized cost as of December 31, 2019 and incorporates future prepayment and loss assumptions. (2) Agency-CMO includes Agency IO which represent 56.3% of principal/notional balance, 6.4% of amortized cost and 6.4% of fair value. (3) Includes Agency CMBS purchase commitments with a fair value of approximately $96.2 million. (4) Non-Agency CMBS includes interest-only securities which represent 13.1% of principal/notional balance, 0.3% of amortized cost and 0.3% of fair value. (5) Non-Agency RMBS is 37.0% variable rate, 57.7% fixed rate and 5.3% floating rate based on fair value. Coupon payments on variable rate investments are based upon changes in the underlying Hybrid ARM loan coupons, while coupon payments on floating rate investments are based upon a spread to a reference index. (6) Of the total discount in non-Agency RMBS, $120.2 million is non-accretable calculated using the principal/notional balance and based on estimated future cash flows of the securities. (7) Non-Agency RMBS includes non-Agency IO which represent 56.2% of principal/notional balance, 1.9% of amortized cost and 1.3% of fair value. (8) GSE CRT weighted average yield excludes coupon interest associated with embedded derivatives not accounted for under the fair value option that is recorded as realized and unrealized credit derivative income (loss), net. The components of the carrying value of our MBS and GSE CRT portfolio at December 31, 2020 and 2019 are presented below. December 31, 2020 December 31, 2019 $ in thousands MBS and GSE Interest-Only Securities Total MBS and GSE Interest-Only Securities Total Principal/notional balance 7,757,491 800,426 8,557,917 20,957,410 2,396,665 23,354,075 Unamortized premium 391,644 — 391,644 440,503 — 440,503 Unamortized discount (10,067) (795,018) (805,085) (419,983) (2,342,319) (2,762,302) Allowance for credit losses (1,768) — (1,768) — — — Gross unrealized gains (1) 34,539 103 34,642 807,324 4,782 812,106 Gross unrealized losses (1) (4,527) (641) (5,168) (66,064) (6,532) (72,596) Fair value 8,167,312 4,870 8,172,182 21,719,190 52,596 21,771,786 (1) Gross unrealized gains and losses includes gains (losses) recognized in net income for securities accounted for as derivatives or under the fair value option as well as gains (losses) for available-for-sale securities which are recognized as adjustments to other comprehensive income. Realization occurs upon sale or settlement of such securities. Further detail on the components of our total gains (losses) on investments, net for the years ended December 31, 2020 and 2019 is provided below within this Note 4. |
Schedule of Fair Value of Available-for-sale Securities and Securities Accounted for under Fair Value Option by Asset Type | The following table presents the fair value of our available-for-sale securities and securities accounted for under the fair value option by asset type as of December 31, 2020 and December 31, 2019. We have elected the fair value option for all of our RMBS interest-only securities, our MBS purchased on or after September 1, 2016 and our GSE CRTs purchased on or after August 24, 2015. As of December 31, 2020 and December 31, 2019, approximately 99% and 80%, respectively, of our MBS and GSE CRTs are accounted for under the fair value option. Our percentage of MBS and GSE CRTs accounted for under the fair value option increased as of December 31, 2020 due to a change in portfolio composition. During the first half of 2020, we sold MBS and GSE CRTs previously accounted for as available-for-sale securities to generate liquidity and reduce leverage given unprecedented market conditions as a result of the COVID-19 pandemic. We resumed investing in Agency RMBS in July 2020 and elected the fair value option for these securities. December 31, 2020 December 31, 2019 $ in thousands Available-for-sale Securities Securities under Fair Value Option Total Available-for-sale Securities Securities under Fair Value Option Total Agency RMBS: 15 year fixed-rate — — — 98,666 193,748 292,414 30 year fixed-rate — 8,050,866 8,050,866 754,590 9,769,630 10,524,220 Hybrid ARM — — — 31,522 25,371 56,893 Total Agency RMBS pass-through — 8,050,866 8,050,866 884,778 9,988,749 10,873,527 Agency-CMO — — — 146,733 280,779 427,512 Agency CMBS — — — — 4,767,930 4,767,930 Non-Agency CMBS 109,583 — 109,583 2,150,991 1,672,483 3,823,474 Non-Agency RMBS 7,267 4,466 11,733 715,479 240,192 955,671 GSE CRT — — — 507,445 416,227 923,672 Total 116,850 8,055,332 8,172,182 4,405,426 17,366,360 21,771,786 |
Schedule of Fair Value of MBS and GSE CRTs According to Weighted Average Life Classification | The following table summarizes our MBS and GSE CRT portfolio according to estimated weighted average life classifications as of December 31, 2020 and 2019. $ in thousands December 31, 2020 December 31, 2019 Less than one year 22,112 268,536 Greater than one year and less than five years 5,303,917 7,836,620 Greater than or equal to five years 2,846,153 13,666,630 Total 8,172,182 21,771,786 |
Schedule of Unrealized Losses and Estimated Fair Value of MBS and GSE CRTs by Length of Time | The following tables present the estimated fair value and gross unrealized losses of our MBS and GSE CRTs by length of time that such securities have been in a continuous unrealized loss position at December 31, 2020 and 2019. December 31, 2020 Less than 12 Months 12 Months or More Total $ in thousands Fair Unrealized Number of Securities Fair Unrealized Number of Securities Fair Unrealized Number of Securities Agency RMBS: 30 year fixed-rate 1,496,279 (4,108) 20 — — — 1,496,279 (4,108) 20 Total Agency RMBS pass-through (1) 1,496,279 (4,108) 20 — — — 1,496,279 (4,108) 20 Non-Agency CMBS (2) 27,069 (419) 1 — — — 27,069 (419) 1 Non-Agency RMBS (3) 2,681 (438) 6 1,612 (203) 7 4,293 (641) 13 Total 1,526,029 (4,965) 27 1,612 (203) 7 1,527,641 (5,168) 34 (1) Fair value option has been elected for all Agency RMBS in an unrealized loss position. (2) Unrealized losses on non-Agency CMBS are included in accumulated other comprehensive income. These losses are not reflected in an allowance for credit losses based on a comparison of discounted expected cash flows to current amortized cost basis. (3) Fair value option has been elected for all non-Agency RMBS in an unrealized loss position. December 31, 2019 Less than 12 Months 12 Months or More Total $ in thousands Fair Unrealized Number of Securities Fair Unrealized Number of Securities Fair Unrealized Number of Securities Agency RMBS: 15 year fixed-rate 957 (1) 2 362 (3) 4 1,319 (4) 6 30 year fixed-rate 255,649 (207) 3 34,009 (256) 5 289,658 (463) 8 Hybrid ARM 434 (2) 1 1,524 (46) 3 1,958 (48) 4 Total Agency RMBS pass-through (1) 257,040 (210) 6 35,895 (305) 12 292,935 (515) 18 Agency-CMO (2) 67,875 (1,194) 15 6,155 (1,513) 13 74,030 (2,707) 28 Agency CMBS (3) 1,743,800 (50,521) 58 — — — 1,743,800 (50,521) 58 Non-Agency CMBS (4) 203,129 (2,783) 19 101,021 (11,425) 7 304,150 (14,208) 26 Non-Agency RMBS (5) 26,283 (3,935) 14 12,199 (636) 2 38,482 (4,571) 16 GSE CRT (6) 77,044 (74) 4 — — — 77,044 (74) 4 Total 2,375,171 (58,717) 116 155,270 (13,879) 34 2,530,441 (72,596) 150 (1) Includes Agency RMBS with a fair value of $271.3 million for which the fair value option has been elected. These securities have unrealized losses of $268,000. (2) Includes Agency IO and Agency-CMO with fair value of $11.1 million and $25.8 million, respectively, for which the fair value option has been elected. These Agency IO and Agency-CMO securities have unrealized losses of $2.3 million and $134,000, respectively. (3) Fair value option has been elected for all securities in an unrealized loss position. (4) Includes non-Agency CMBS with a fair value of $181.5 million for which the fair value option has been elected. These securities have unrealized losses of $2.8 million. (5) Includes non-Agency RMBS and non-Agency IO with a fair value of $17.6 million and $8.5 million, respectively, for which the fair value option has been elected. These securities have unrealized losses of $261,000 and $3.7 million, respectively. (6) Fair value option has been elected for all GSE CRT that are in an unrealized loss position. |
Schedule of Debt Securities, Available-for-sale, Allowance for Credit Loss | The following table presents a roll-forward of our allowance for credit losses. $ in thousands Year Ended December 31, 2020 Beginning allowance for credit losses — Additions to the allowance for credit losses on securities for which credit losses were not previously recorded (1,768) Ending allowance for credit losses (1,768) |
Schedule of Changes in Other than Temporary Impairment Included in Earnings | The following table represents OTTI included in earnings for the years ended December 31, 2019 and 2018. Years Ended December 31, $ in thousands 2019 2018 RMBS interest-only securities 6,707 7,761 Non-Agency RMBS (1) 1,024 85 Total 7,731 7,846 (1) Amounts disclosed relate to credit losses on debt securities for which a portion of an other-than-temporary impairment was recognized in other comprehensive income. |
Schedule of Gain (Loss) on Investments | The following table summarizes the components of our total gain (loss) on investments, net for the years ended December 31, 2020, 2019 and 2018. Years Ended December 31, $ in thousands 2020 2019 2018 Gross realized gains on sale of investments 656,915 24,721 774 Gross realized losses on sale of investments (1,020,696) (16,682) (218,910) Impairment of investments the Company intends to sell or more likely than not will be required to sell before recovery of amortized cost basis and other impairments (101,138) — — Other-than-temporary impairment losses — (7,731) (7,846) Net unrealized gains (losses) on MBS and GSE CRT accounted for under the fair value option (492,047) 624,158 (101,697) Net unrealized gains (losses) on commercial loan and loan participation interest (1,164) — — Realized loss on loan participation interest (3,808) — — Net unrealized gains (losses) on trading securities — — (21) Total gain (loss) on investments, net (961,938) 624,466 (327,700) |
Schedule of Components of MBS and GSE CRT Interest Income | The following tables present components of interest income recognized on our MBS and GSE CRT portfolio for the years ended December 31, 2020, 2019 and 2018. GSE CRT interest income excludes coupon interest associated with embedded derivatives not accounted for under the fair value option of $6.3 million, $20.8 million and $22.5 million for the years ended December 31, 2020, 2019 and 2018, respectively, that is recorded as realized and unrealized credit derivative income (loss), net. For the Year ended December 31, 2020 $ in thousands Coupon Net (Premium Interest Agency RMBS 161,845 (32,737) 129,108 Agency CMBS 35,822 (1,744) 34,078 Non-Agency CMBS 76,068 14,721 90,789 Non-Agency RMBS 13,895 1,107 15,002 GSE CRT 10,232 (2,560) 7,672 Other 751 — 751 Total 298,613 (21,213) 277,400 For the Year ended December 31, 2019 $ in thousands Coupon Net (Premium Amortization)/Discount Accretion Interest Agency RMBS 488,650 (76,676) 411,974 Agency CMBS 88,462 (4,712) 83,750 Non-Agency CMBS 163,326 15,347 178,673 Non-Agency RMBS 52,857 13,164 66,021 GSE CRT 37,032 (7,842) 29,190 Other 3,049 — 3,049 Total 833,376 (60,719) 772,657 For the Year ended December 31, 2018 $ in thousands Coupon Net (Premium Amortization)/Discount Accretion Interest Agency RMBS 441,757 (80,750) 361,007 Agency CMBS 10,546 (591) 9,955 Non-Agency CMBS 151,562 6,682 158,244 Non-Agency RMBS 55,116 19,968 75,084 GSE CRT 29,142 (3,071) 26,071 Other 1,117 — 1,117 Total 689,240 (57,762) 631,478 |
Other Assets (Tables)
Other Assets (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | |
Schedule of other assets | The following table summarizes our other assets as of December 31, 2020 and 2019: $ in thousands December 31, 2020 December 31, 2019 FHLBI stock — 74,250 Loan participation interest — 44,654 Commercial loan, held-for-investment 23,098 24,055 Investments in unconsolidated ventures 16,408 21,998 Prepaid expenses and other assets 1,657 1,223 Total 41,163 166,180 |
Borrowings (Tables)
Borrowings (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Debt Disclosure [Abstract] | |
Schedule of Borrowings | The following tables summarize certain characteristics of our borrowings at December 31, 2020 and 2019. Refer to Note 7 - “Collateral Positions” for collateral pledged and held under our repurchase agreements and secured loans. December 31, 2020 $ in thousands Amount Weighted Weighted Repurchase Agreements - Agency RMBS 7,228,699 0.21 % 14 Total Borrowings 7,228,699 0.21 % 14 December 31, 2019 $ in thousands Amount Weighted Weighted Repurchase Agreements: Agency RMBS 9,666,964 1.95 % 46 Agency CMBS 4,246,359 1.95 % 43 Non-Agency CMBS 2,041,968 2.71 % 14 Non-Agency RMBS 790,412 2.65 % 16 GSE CRT 753,110 2.70 % 13 Loan Participation Interest 33,490 3.22 % 240 Total Repurchase Agreements 17,532,303 2.11 % 39 Secured Loans 1,650,000 1.93 % 1587 Total Borrowings 19,182,303 2.09 % 172 |
Collateral Positions (Tables)
Collateral Positions (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of Fair Value of Collateral Hold and Pledged | The following table summarizes the fair value of collateral that we pledged and held under our repurchase agreements, secured loans, interest rate swaps, currency forward contracts, and TBAs as of December 31, 2020 and 2019. Refer to Note 2 - “Summary of Significant Accounting Policies - Fair Value Measurements” for a description of how we determine fair value. MBS and GSE CRT collateral pledged is included in mortgage-backed and credit risk transfer securities on our consolidated balance sheets. Loan participation interest collateral pledged was included in other assets on our consolidated balance sheets. Cash collateral pledged on secured loans, centrally cleared interest rate swaps and currency forward contracts is classified as restricted cash on our consolidated balance sheets. Cash collateral pledged on repurchase agreements and TBAs accounted for as derivatives is classified as due from counterparties on our consolidated balance sheets. Agency CMBS purchase commitments that are recorded as mortgage-backed and credit risk transfer securities on our consolidated balance sheets cannot be pledged as collateral until these securities settle. We held approximately $96.2 million of these securities as of December 31, 2019. We did not have any Agency CMBS purchase commitments as of December 31, 2020. Cash collateral held on repurchase agreements that is not restricted for use is included in cash and cash equivalents on our consolidated balance sheets and the liability to return the collateral is included in collateral held payable. Non-cash collateral held is only recognized if the counterparty defaults or if we sell the pledged collateral. As of December 31, 2020 and 2019, we did not recognize any non-cash collateral held on our consolidated balance sheets. $ in thousands As of Collateral Pledged December 31, 2020 December 31, 2019 Repurchase Agreements: Agency RMBS 7,614,935 10,187,555 Agency CMBS — 4,446,384 Non-Agency CMBS — 2,549,841 Non-Agency RMBS — 943,176 GSE CRT — 918,117 Loan participation interest — 44,654 Cash 700 32,568 Total repurchase agreements collateral pledged 7,615,635 19,122,295 Secured Loans: Agency RMBS — 621,471 Non-Agency CMBS — 1,276,418 Restricted cash — 600 Total secured loans collateral pledged — 1,898,489 Interest Rate Swaps, Currency Forward Contracts and TBAs: Agency RMBS — 189,780 Cash 378 — Restricted cash 244,573 116,395 Total interest rate swaps, currency forward contracts and TBAs collateral pledged 244,951 306,175 Total collateral pledged: Mortgage-backed and credit risk transfer securities 7,614,935 21,132,742 Loan participation interest — 44,654 Cash 1,078 32,568 Restricted cash 244,573 116,995 Total collateral pledged 7,860,586 21,326,959 Collateral Held December 31, 2020 December 31, 2019 Repurchase Agreements: Cash 1,916 10 Non-cash collateral 4,226 181 Total repurchase agreements collateral held 6,142 191 Interest Rate Swaps and TBAs: Cash 1,630 160 Total interest rate swap and currency forward contracts collateral held 1,630 160 Total collateral held: Cash 3,546 170 Non-cash collateral 4,226 181 Total collateral held 7,772 351 |
Derivatives and Hedging Activ_2
Derivatives and Hedging Activities (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of Derivative Instruments | The following table summarizes changes in the notional amount of our derivative instruments during 2020: $ in thousands Notional Amount as of December 31, 2019 Additions Settlement, Notional Amount as Interest Rate Swaps 14,000,000 101,025,000 (108,725,000) 6,300,000 Currency Forward Contracts 23,111 103,381 (93,408) 33,084 Credit Derivatives 464,966 — (464,966) — TBA Purchase Contracts — 8,800,000 (7,100,000) 1,700,000 TBA Sale Contracts — (5,600,000) 5,600,000 — Total 14,488,077 104,328,381 (110,783,374) 8,033,084 |
Schedule of Interest Rate Swaps Outstanding | As of December 31, 2020 and 2019, we had interest rate swaps with the following maturities outstanding: $ in thousands As of December 31, 2020 Maturities Notional Amount (1) Weighted Average Fixed Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity 2024 1,000,000 0.16 % 0.15 % 3.6 2025 1,250,000 0.23 % 0.15 % 4.6 Thereafter 4,050,000 0.53 % 0.15 % 8.1 Total 6,300,000 0.41 % 0.15 % 6.7 $ in thousands As of December 31, 2019 Maturities Notional Amount (2) Weighted Average Fixed Pay Rate Weighted Average Receive Rate Weighted Average Years to Maturity 2020 1,900,000 1.67 % 1.84 % 0.6 2021 2,500,000 1.40 % 1.77 % 1.3 2022 800,000 1.53 % 1.91 % 2.9 2023 2,400,000 1.44 % 1.72 % 3.9 2024 900,000 1.49 % 1.76 % 4.8 Thereafter 5,500,000 1.44 % 1.78 % 9.5 Total 14,000,000 1.47 % 1.79 % 5.2 (1) Notional amount includes $6.3 billion of interest rate swaps that receive variable payments based on 1-month LIBOR as of December 31, 2020. |
Schedule of Credit Derivatives | As of December 31, 2019, terms of the GSE CRT embedded derivatives were: $ in thousands December 31, 2019 Fair value amount 10,281 Notional amount 464,966 Maximum potential amount of future undiscounted payments 464,966 |
Schedule of TBA Contracts | The following table summarizes certain characteristics of our TBAs accounted for as derivatives as of December 31, 2020. We did not hold any such instruments as of December 31, 2019. $ in thousands As of December 31, 2020 Notional Amount Implied Cost Basis Implied Market Value Net Carrying Value TBA purchase contracts 1,700,000 1,772,211 1,782,104 9,893 Net TBA derivatives 1,700,000 1,772,211 1,782,104 9,893 |
Schedule of Fair Value of Derivative Financial Instruments and Classification on Balance Sheet | The table below presents the fair value of our derivative financial instruments, as well as their classification on our consolidated balance sheets as of December 31, 2020 and 2019. $ in thousands Derivative Assets Derivative Liabilities As of December 31, 2020 As of December 31, 2019 As of December 31, 2020 As of December 31, 2019 Balance Fair Value Fair Value Balance Fair Value Fair Value Interest Rate Swaps Asset — 18,533 Interest Rate Swaps Liability 5,537 — Currency Forward Contracts 111 — Currency Forward Contracts 807 352 TBAs 9,893 — TBAs — — Total Derivative Assets 10,004 18,533 Total Derivative Liabilities 6,344 352 |
Schedule of Effect of Derivative Financial Instruments on Statement of Operations | The tables below present the effect of our credit derivatives on our consolidated statements of operations for the years ended December 31, 2020, 2019 and 2018. $ in thousands Year ended December 31, 2020 Derivative Realized gain (loss), net GSE CRT embedded derivative coupon interest Unrealized Realized and unrealized credit derivative income (loss), net GSE CRT Embedded Derivatives (31,354) 6,323 (10,281) (35,312) $ in thousands Year ended December 31, 2019 Derivative Realized gain (loss), net GSE CRT embedded derivative coupon interest Unrealized Realized and unrealized credit derivative income (loss), net GSE CRT Embedded Derivatives — 20,833 (12,490) 8,343 $ in thousands Year Ended December 31, 2018 Derivative Realized gain (loss), net GSE CRT embedded derivative coupon interest Unrealized Realized and unrealized credit derivative income (loss), net GSE CRT Embedded Derivatives — 22,478 (22,629) (151) The following tables summarize the effect of interest rate swaps, futures contracts, currency forward contracts and TBAs reported in gain (loss) on derivative instruments, net on the consolidated statements of operations for the years ended December 31, 2020, 2019 and 2018. $ in thousands Year ended December 31, 2020 Derivative Realized gain (loss) on derivative instruments, net Contractual net Unrealized Gain (loss) on derivative instruments, net Interest Rate Swaps (857,753) 8,047 (24,068) (873,774) Currency Forward Contracts (1,301) — (345) (1,646) TBAs 14,477 — 9,893 24,370 Total (844,577) 8,047 (14,520) (851,050) $ in thousands Year ended December 31, 2019 Derivative Realized gain (loss) on derivative instruments, net Contractual net Unrealized Gain (loss) on derivative instruments, net Interest Rate Swaps (440,626) 35,840 18,826 (385,960) Future Contracts (157,929) — 7,836 (150,093) Currency Forward Contracts 1,478 — (180) 1,298 Total (597,077) 35,840 26,482 (534,755) $ in thousands Year ended December 31, 2018 Derivative Realized gain (loss) on derivative instruments, net Contractual net Unrealized Gain (loss) on derivative instruments, net Interest Rate Swaps 81,417 (20,015) 24,358 85,760 Future Contracts (86,318) — (7,836) (94,154) Currency Forward Contracts 2,088 — 1,046 3,134 TBAs (17) — — (17) Total (2,830) (20,015) 17,568 (5,277) |
Offsetting Assets and Liabili_2
Offsetting Assets and Liabilities (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Offsetting [Abstract] | |
Schedule of Offsetting Assets | The following tables present information about the assets and liabilities that are subject to master netting arrangements (or similar agreements) and can potentially be offset on our consolidated balance sheets at December 31, 2020 and December 31, 2019. The daily variation margin payment for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral. Our derivative liability of $5.5 million at December 31, 2020 (December 31, 2019: asset of $18.5 million) related to centrally cleared interest rate swaps is not included in the table below as a result of this characterization of daily variation margin. As of December 31, 2020 Gross Amounts Not Offset in the $ in thousands Gross Gross Net Amounts Financial Net Amount Assets Derivatives (1) (2) 10,004 — 10,004 (111) (1,630) 8,263 Total Assets 10,004 — 10,004 (111) (1,630) 8,263 Liabilities Derivatives (1) (2) (807) — (807) 111 610 (86) Repurchase Agreements (3) (7,228,699) — (7,228,699) 7,228,699 — — Total Liabilities (7,229,506) — (7,229,506) 7,228,810 610 (86) As of December 31, 2019 Gross Amounts Not Offset in the $ in thousands Gross Gross Net Amounts Financial Cash Collateral Net Amount Liabilities Derivatives (1) (2) (352) — (352) — 320 (32) Repurchase Agreements (3) (17,532,303) — (17,532,303) 17,532,303 — — Secured Loans (4) (1,650,000) — (1,650,000) 1,650,000 — — Total Liabilities (19,182,655) — (19,182,655) 19,182,303 320 (32) (1) Amounts represent derivative assets and derivative liabilities which could potentially be offset against other derivative assets, derivative liabilities and cash collateral pledged or received. (2) The fair value of securities pledged as initial margin against our centrally cleared swaps was $189.8 million as of December 31, 2019. Cash collateral pledged by us on our currency forward contracts, TBAs and centrally cleared interest rate swaps was $245.0 million and $116.4 million at December 31, 2020 and December 31, 2019, respectively. Cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps and is therefore excluded from the tables above. We held cash collateral on our derivatives of $1.6 million and $160,000 as of December 31, 2020 and December 31, 2019, respectively. (3) The fair value of securities pledged against our borrowing under repurchase agreements was $7.6 billion and $19.1 billion at December 31, 2020 and December 31, 2019, respectively. We pledged cash collateral of $700,000 and $32.6 million under repurchase agreements as of December 31, 2020 and December 31, 2019, respectively. We held cash collateral of $1.9 million and $10,000 under repurchase agreements as of December 31, 2020 and December 31, 2019, respectively. (4) The fair value of securities pledged against borrowings under our secured loans was $1.9 billion at December 31, 2019. We pledged cash collateral against secured loans of $600,000 as of December 31, 2019. |
Schedule of Offsetting Liabilities | The following tables present information about the assets and liabilities that are subject to master netting arrangements (or similar agreements) and can potentially be offset on our consolidated balance sheets at December 31, 2020 and December 31, 2019. The daily variation margin payment for centrally cleared interest rate swaps is characterized as settlement of the derivative itself rather than collateral. Our derivative liability of $5.5 million at December 31, 2020 (December 31, 2019: asset of $18.5 million) related to centrally cleared interest rate swaps is not included in the table below as a result of this characterization of daily variation margin. As of December 31, 2020 Gross Amounts Not Offset in the $ in thousands Gross Gross Net Amounts Financial Net Amount Assets Derivatives (1) (2) 10,004 — 10,004 (111) (1,630) 8,263 Total Assets 10,004 — 10,004 (111) (1,630) 8,263 Liabilities Derivatives (1) (2) (807) — (807) 111 610 (86) Repurchase Agreements (3) (7,228,699) — (7,228,699) 7,228,699 — — Total Liabilities (7,229,506) — (7,229,506) 7,228,810 610 (86) As of December 31, 2019 Gross Amounts Not Offset in the $ in thousands Gross Gross Net Amounts Financial Cash Collateral Net Amount Liabilities Derivatives (1) (2) (352) — (352) — 320 (32) Repurchase Agreements (3) (17,532,303) — (17,532,303) 17,532,303 — — Secured Loans (4) (1,650,000) — (1,650,000) 1,650,000 — — Total Liabilities (19,182,655) — (19,182,655) 19,182,303 320 (32) (1) Amounts represent derivative assets and derivative liabilities which could potentially be offset against other derivative assets, derivative liabilities and cash collateral pledged or received. (2) The fair value of securities pledged as initial margin against our centrally cleared swaps was $189.8 million as of December 31, 2019. Cash collateral pledged by us on our currency forward contracts, TBAs and centrally cleared interest rate swaps was $245.0 million and $116.4 million at December 31, 2020 and December 31, 2019, respectively. Cash collateral pledged on our centrally cleared interest rate swaps is settled against the fair value of these swaps and is therefore excluded from the tables above. We held cash collateral on our derivatives of $1.6 million and $160,000 as of December 31, 2020 and December 31, 2019, respectively. (3) The fair value of securities pledged against our borrowing under repurchase agreements was $7.6 billion and $19.1 billion at December 31, 2020 and December 31, 2019, respectively. We pledged cash collateral of $700,000 and $32.6 million under repurchase agreements as of December 31, 2020 and December 31, 2019, respectively. We held cash collateral of $1.9 million and $10,000 under repurchase agreements as of December 31, 2020 and December 31, 2019, respectively. (4) The fair value of securities pledged against borrowings under our secured loans was $1.9 billion at December 31, 2019. We pledged cash collateral against secured loans of $600,000 as of December 31, 2019. |
Fair Value of Financial Instr_2
Fair Value of Financial Instruments (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Fair Value Disclosures [Abstract] | |
Schedule of Fair Values Measured on Recurring Basis | The following tables present our assets and liabilities measured at fair value on a recurring basis. December 31, 2020 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 NAV as a practical expedient (3) Total at Assets: Mortgage-backed and credit risk transfer securities (1) — 8,172,182 — — 8,172,182 Derivative assets — 10,004 — — 10,004 Other assets (4) — — 23,098 16,408 39,506 Total assets — 8,182,186 23,098 16,408 8,221,692 Liabilities: Derivative liabilities — 6,344 — — 6,344 Total liabilities — 6,344 — — 6,344 December 31, 2019 Fair Value Measurements Using: $ in thousands Level 1 Level 2 Level 3 NAV as a practical expedient (3) Total at Assets: Mortgage-backed and credit risk transfer securities (1)(2) — 21,761,505 10,281 — 21,771,786 Derivative assets — 18,533 — — 18,533 Other assets (4) — — 44,654 21,998 66,652 Total assets — 21,780,038 54,935 21,998 21,856,971 Liabilities: Derivative liabilities — 352 — — 352 Total liabilities — 352 — — 352 (1) For more detail about the fair value of our MBS and GSE CRTs, refer to Note 4 - “Mortgage-Backed and Credit Risk Transfer Securities.” (2) Our GSE CRTs purchased before August 24, 2015 were accounted for as hybrid financial instruments with an embedded derivative. The hybrid financial instruments consisted of debt host contracts classified as Level 2 and embedded derivatives classified as Level 3. We did not hold any GSE CRTs accounted for as hybrid financial instruments as of December 31, 2020. As of December 31, 2019, the net embedded derivative asset position of $10.3 million includes $19.5 million of embedded derivatives in an asset position and $9.2 million of embedded derivatives in a liability position. (3) Investments in unconsolidated ventures are valued using the net asset value (“NAV”) as a practical expedient and are not subject to redemption, although investors may sell or transfer their interest at the approval of the general partner of the underlying funds. As of December 31, 2020 and December 31, 2019, the weighted average remaining term of our investments in unconsolidated ventures is 1.5 years and 2.2 years, respectively. (4) Includes $44.7 million of a loan participation interest as of December 31, 2019 and $23.1 million of a commercial loan as of December 31, 2020. We elected the fair value option for our commercial loan as of January 1, 2020 and valued the loan based on a third party appraisal as of December 31, 2020. We sold our loan participation interest on April 1, 2020. |
Schedule of Net Derivative Asset (Liability) Level 3 Roll Forward | The following table shows a reconciliation of the beginning and ending fair value measurements of our GSE CRT embedded derivatives, which we have valued utilizing Level 3 inputs: Years Ended $ in thousands December 31, 2020 December 31, 2019 Beginning balance 10,281 22,771 Sales and settlements 31,354 — Total net credit derivative gains (losses) included in net income: Realized credit derivative gains (losses), net (31,354) — Unrealized credit derivative gains (losses), net (1) (10,281) (12,490) Ending balance — 10,281 |
Schedule of Loan Participation Interest Level 3 Roll Forward | The following table shows a reconciliation of the beginning and ending fair value measurements of our loan participation interest, which we have valued utilizing Level 3 inputs: Year Ended $ in thousands December 31, 2020 December 31, 2019 Beginning balance 44,654 54,981 Purchases/Advances — 7,962 Repayments (19,269) (18,289) Sales (21,577) — Total net gains and losses included in net income: Realized losses (3,808) — Ending balance — 44,654 Realized losses on our loan participation interest are included in gain (loss) on investments, net in our consolidated statements of operations. The following table shows a reconciliation of the beginning balance of our commercial loan and ending balance at fair value, which we have valued utilizing Level 3 inputs: Year Ended $ in thousands December 31, 2020 Beginning balance 24,055 Cumulative effect of adoption of new accounting principle 342 Repayments (136) Total net unrealized losses included in net income: Unrealized losses (1,163) Ending balance 23,098 |
Schedule of Net Derivative Asset (Liability), Fair Value Inputs | The following tables summarize significant unobservable inputs used in the fair value measurement of our GSE CRT embedded derivatives: Fair Value at $ in thousands December 31, 2019 Valuation Technique Unobservable Input Range Weighted Average GSE CRT Embedded Derivatives 10,281 Market Comparables, Vendor Pricing Weighted average life 1.1 - 4.2 years 2.9 years |
Schedule of Fair Value Measurement of Commercial Loan | The following table summarizes the significant unobservable input used in the fair value measurement of our commercial loan: Fair Value at Valuation Unobservable $ in thousands December 31, 2020 Technique Input Rate Commercial Loan 23,098 Discounted Cash Flow Discount rate 29.9 % |
Schedule of Carrying Values and Estimated Fair Value of Financial Instruments | The following table presents the carrying value and estimated fair value of our financial instruments that are not carried at fair value on the consolidated balance sheets at December 31, 2020 and December 31, 2019: December 31, 2020 December 31, 2019 $ in thousands Carrying Estimated Carrying Estimated Financial Assets: Commercial loan, held-for-investment (1) N/A N/A 24,055 24,397 FHLBI stock — — 74,250 74,250 Total — — 98,305 98,647 Financial Liabilities: Repurchase agreements 7,228,699 7,228,719 17,532,303 17,534,344 Secured loans — — 1,650,000 1,650,000 Total 7,228,699 7,228,719 19,182,303 19,184,344 |
Related Party Transactions (Tab
Related Party Transactions (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Related Party Transactions [Abstract] | |
Schedule of Related Party Transactions | The following table summarizes the costs incurred on our behalf by our Manager for the years ended December 31, 2020, 2019 and 2018. Years ended December 31, $ in thousands 2020 2019 2018 Incurred costs, prepaid or expensed 10,845 7,343 6,483 Incurred costs, charged against equity as a cost of raising capital 239 950 230 Total incurred costs, originally paid by our Manager 11,084 8,293 6,713 |
Stockholders' Equity (Tables)
Stockholders' Equity (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Equity [Abstract] | |
Schedule of Accumulated Other Comprehensive Income | The following tables present the components of total other comprehensive income (loss), net and accumulated other comprehensive income (“AOCI”) at December 31, 2020 and December 31, 2019, respectively. The tables exclude gains and losses on MBS and GSE CRTs that are accounted for under the fair value option. December 31, 2020 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income (loss), net: Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — (223,416) — (223,416) Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 13,940 — 13,940 Reclassification of unrealized loss on available-for-sale securities to (increase) decrease in provision for credit losses 1,768 1,768 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (23,794) (23,794) Currency translation adjustments on investment in unconsolidated venture 1,144 — — 1,144 Total other comprehensive income (loss), net 1,144 (207,708) (23,794) (230,358) AOCI balance at beginning of period (645) 213,701 75,907 288,963 Total other comprehensive income/(loss), net 1,144 (207,708) (23,794) (230,358) AOCI balance at end of period 499 5,993 52,113 58,605 December 31, 2019 $ in thousands Equity method investments Available-for-sale securities Derivatives and hedging Total Total other comprehensive income (loss), net: Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net — 83,965 — 83,965 Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net — 9,072 — 9,072 Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense — — (23,729) (23,729) Currency translation adjustments on investment in unconsolidated venture (1,158) — — (1,158) Total other comprehensive income (loss), net (1,158) 93,037 (23,729) 68,150 AOCI balance at beginning of period 513 120,664 99,636 220,813 Total other comprehensive income/(loss), net (1,158) 93,037 (23,729) 68,150 AOCI balance at end of period (645) 213,701 75,907 288,963 |
Schedule of Dividends Declared | We declared the following dividends during 2020 and 2019: $ in thousands, except per share amounts Dividends Declared Series A Preferred Stock Per Share In Aggregate Date of Payment 2020 November 5, 2020 0.4844 2,713 January 25, 2021 September 10, 2020 0.4844 2,713 October 26, 2020 June 17, 2020 0.4844 2,712 July 27, 2020 March 17, 2020 0.4844 2,713 May 22, 2020 2019 December 16, 2019 0.4844 2,712 January 27, 2020 September 16, 2019 0.4844 2,713 October 25, 2019 June 17, 2019 0.4844 2,712 July 25, 2019 March 18, 2019 0.4844 2,713 April 25, 2019 Dividends Declared Series B Preferred Stock Per Share In Aggregate Date of Payment 2020 November 5, 2020 0.4844 3,003 December 28, 2020 August 5, 2020 0.4844 3,003 September 28, 2020 May 9, 2020 0.4844 3,004 June 29, 2020 February 18, 2020 0.4844 3,003 May 22, 2020 2019 November 5, 2019 0.4844 3,003 December 27, 2019 August 1, 2019 0.4844 3,003 September 27, 2019 May 3, 2019 0.4844 3,004 June 27, 2019 February 14, 2019 0.4844 3,003 March 27, 2019 Dividends Declared Series C Preferred Stock Per Share In Aggregate Date of Payment 2020 November 5, 2020 0.46875 5,391 December 28, 2020 August 5, 2020 0.46875 5,391 September 28, 2020 May 9, 2020 0.46875 5,390 June 29, 2020 February 18, 2020 0.46875 5,391 May 22, 2020 2019 November 5, 2019 0.46875 5,391 December 27, 2019 August 1, 2019 0.46875 5,391 September 27, 2019 May 3, 2019 0.46875 5,390 June 27, 2019 February 14, 2019 0.46875 5,391 March 27, 2019 Common Stock Dividends Declared Per Share In Aggregate Date of Payment 2020 December 28, 2020 0.08 16,258 January 26, 2021 September 30, 2020 0.05 9,070 October 27, 2020 June 17, 2020 0.02 3,626 July 28, 2020 March 17, 2020 0.50 82,483 June 30, 2020 2019 December 16, 2019 0.50 72,132 January 28, 2020 September 16, 2019 0.45 64,261 October 28, 2019 June 17, 2019 0.45 57,958 July 26, 2019 March 18, 2019 0.45 57,720 April 26, 2019 The following table sets forth the dividends declared per share of our preferred and common stock and their related tax characterization for the fiscal tax years ended December 31, 2020 and 2019. Tax Characterization of Dividends Fiscal Tax Year Dividends Declared Ordinary Dividends Return of Capital Capital Gain Distribution Carry Forward Series A Preferred Stock Dividends Fiscal tax year 2020 (1) 1.937600 — 1.937600 — — Fiscal tax year 2019 (2) 1.937600 — 1.937600 — — Series B Preferred Stock Dividends Fiscal tax year 2020 1.937600 — 1.937600 — — Fiscal tax year 2019 1.937600 — 1.937600 — — Series C Preferred Stock Dividends Fiscal tax year 2020 1.875000 — 1.875000 — — Fiscal tax year 2019 1.875000 — 1.875000 — — Common Stock Dividends Fiscal tax year 2020 (3) 0.650000 — 0.570000 — 0.080000 Fiscal tax year 2019 (4) 1.850000 — 1.350000 — 0.500000 (1) Excludes preferred stock dividend of $0.4844 per share declared on November 5, 2020 that has a record date of January 1, 2021. This dividend is a 2021 dividend for federal income tax purposes. (2) Excludes preferred stock dividend of $0.4844 per share declared on December 16, 2019 that had a record date of January 1, 2020. This dividend is a 2020 dividend for federal income tax purposes. (3) Our fourth quarter dividend declared on December 28, 2020 that has a record date of January 12, 2021 was paid on January 26, 2021. This dividend is a 2021 dividend for federal income tax purposes. (4) Our fourth quarter dividend declared on December 16, 2019 that had a record date of December 27, 2019 was paid on January 28, 2020. This dividend is a 2020 dividend for federal income tax purposes and is characterized as a return of capital. |
Earnings per Common Share (Tabl
Earnings per Common Share (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Earnings Per Share [Abstract] | |
Schedule of Earnings Per Share | Earnings per share for the years ended December 31, 2020, 2019 and 2018 is computed as follows: In thousands except per share amounts Years Ended December 31, 2020 2019 2018 Numerator (Income) Basic Earnings: Net income (loss) available to common stockholders (1,718,778) 319,675 (115,216) Denominator (Weighted Average Shares) Basic Earnings: Shares available to common stockholders 173,730 132,306 111,637 Effect of dilutive securities: Restricted stock awards — 12 — Dilutive Shares 173,730 132,318 111,637 Earnings (loss) per share: Net income (loss) attributable to common stockholders Basic (9.89) 2.42 (1.03) Diluted (9.89) 2.42 (1.03) |
Non-controlling Interest - Op_2
Non-controlling Interest - Operating Partnership (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Noncontrolling Interest [Abstract] | |
Schedule of Consolidation, Less than Wholly Owned Subsidiary, Parent Ownership Interest, Effects of Changes, Net | The following table summarizes the effect of changes in our ownership interest in our Operating Partnership on our equity. Year ended December 31, $ in thousands 2018 Net income (loss) attributable to Invesco Mortgage Capital Inc. (70,790) Transfers from non-controlling interest: Decrease in additional paid-in capital due to purchase of OP Units (798) Net transfers from non-controlling interest (798) Change from net income (loss) attributable to Invesco Mortgage Capital Inc. common stockholders and transfers (to) from non-controlling interest (71,588) |
Schedule of Income (Expense) Allocated and Distributions Paid to Noncontrolling Interests | The following table presents the net income (loss) allocated and distributions paid to the Operating Partnership non-controlling interest for the year ended December 31, 2018. Years ended December 31, $ in thousands 2018 Net income (loss) allocated 254 Distributions paid 2,394 |
Organization and Business Ope_2
Organization and Business Operations (Detail) | 12 Months Ended |
Dec. 31, 2020numberOfSegment | |
Organization And Business Operations | |
Number of operating segments | 1 |
Minimum distribution percentage of taxable income to qualify for REIT | 90.00% |
Summary of Significant Accoun_3
Summary of Significant Accounting Policies (Detail) | 12 Months Ended | |||
Dec. 31, 2020USD ($)numberOfSubsidiary | Dec. 31, 2019USD ($)numberOfLoan | Dec. 31, 2018USD ($) | Jan. 01, 2020USD ($)numberOfLoan | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||||
Foreign currency gain (losses) | $ 0 | $ 0 | $ (1,038,000) | |
Number of loans measured at fair value | numberOfLoan | 1 | |||
FDIC deposit insurance limit amount | 250,000 | |||
Investment related receivable | $ 15,840,000 | 67,976,000 | ||
Number of subsidiaries treated as taxable REIT | numberOfSubsidiary | 2 | |||
Impairment of non-agency securities | $ 94,100,000 | |||
Allowance for credit losses | 1,768,000 | $ 0 | ||
Number of commercial loans | numberOfLoan | 1 | |||
Retained earnings | 1,367,158,000 | $ 2,931,899,000 | ||
Retained earnings (Distributions in excess of earnings) | Cumulative Effect, Period of Adoption, Adjustment | ||||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||||
Retained earnings | $ 342,000 | |||
MBS and GSE CRT Securities | ||||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||||
Securities under Fair Value Option | $ 8,055,332,000 | $ 17,366,360,000 | ||
Percentage of MBS and GSE CRT accounted for under the fair value option | 99.00% | 80.00% | ||
Available-for-sale securities | $ 116,850,000 | $ 4,405,426,000 | ||
Percentage of MBS and GSE CRT securities classified as available-for-sale | 1.00% | 20.00% | ||
Investment related receivable | $ 15,600,000 | $ 67,600,000 | ||
Allowance for credit losses | 1,768,000 | $ 0 | ||
Commercial loan | ||||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||||
Unrealized losses | $ 1,200,000 | |||
Investment Denominated in Pound Sterling | Commercial | ||||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||||
Foreign currency gain (losses) | $ (930,000) |
Variable Interest Entities ("_3
Variable Interest Entities ("VIEs") (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Variable Interest Entity | ||
Carrying Amount | $ 8,172,182 | $ 21,771,786 |
Variable Interest Entity, Not Primary Beneficiary | ||
Variable Interest Entity | ||
Carrying Amount | 137,724 | |
Company's Maximum Risk of Loss | 137,724 | |
Variable Interest Entity, Not Primary Beneficiary | Non-Agency CMBS | ||
Variable Interest Entity | ||
Carrying Amount | 109,583 | |
Company's Maximum Risk of Loss | 109,583 | |
Variable Interest Entity, Not Primary Beneficiary | Non-Agency RMBS | ||
Variable Interest Entity | ||
Carrying Amount | 11,733 | |
Company's Maximum Risk of Loss | 11,733 | |
Variable Interest Entity, Not Primary Beneficiary | Investments in unconsolidated ventures | ||
Variable Interest Entity | ||
Carrying Amount | 16,408 | |
Company's Maximum Risk of Loss | $ 16,408 |
Mortgage-Backed and Credit Ri_3
Mortgage-Backed and Credit Risk Transfer Securities - Summary of Investment Portfolio (Detail) - USD ($) | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 8,557,917,000 | $ 23,354,075,000 |
Unamortized Premium (Discount) | (413,441,000) | (2,321,799,000) |
Amortized Cost | 8,144,476,000 | 21,032,276,000 |
Allowance for Credit Losses | (1,768,000) | 0 |
Unrealized Gain/ (Loss), net | 29,474,000 | 739,510,000 |
Fair Value | $ 8,172,182,000 | $ 21,771,786,000 |
Period- end Weighted Average Yield | 1.97% | 3.85% |
Percentage of Agency-CMO interest only securities, principal balance | 56.30% | |
Percentage of Agency-CMO interest only securities, amortized cost | 6.40% | |
Percentage of Agency-CMO interest only securities, fair value | 6.40% | |
Percentage of Non-Agency CMBS interest only, principal balance | 13.10% | |
Percentage of Non-Agency CMBS interest only, amortized cost | 0.30% | |
Percentage of Non-Agency CMBS interest only, fair value | 0.30% | |
Unamortized premium (discount) non-accretable portion | $ 120,200,000 | |
15 year fixed-rate | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | 280,426,000 | |
Unamortized Premium (Discount) | 1,666,000 | |
Amortized Cost | 282,092,000 | |
Unrealized Gain/ (Loss), net | 10,322,000 | |
Fair Value | $ 292,414,000 | |
Period- end Weighted Average Yield | 3.34% | |
30 year fixed-rate | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 7,635,107,000 | $ 9,911,339,000 |
Unamortized Premium (Discount) | 391,644,000 | 308,427,000 |
Amortized Cost | 8,026,751,000 | 10,219,766,000 |
Allowance for Credit Losses | 0 | |
Unrealized Gain/ (Loss), net | 24,115,000 | 304,454,000 |
Fair Value | $ 8,050,866,000 | $ 10,524,220,000 |
Period- end Weighted Average Yield | 1.86% | 3.62% |
Hybrid ARM | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 55,024,000 | |
Unamortized Premium (Discount) | 602,000 | |
Amortized Cost | 55,626,000 | |
Unrealized Gain/ (Loss), net | 1,267,000 | |
Fair Value | $ 56,893,000 | |
Period- end Weighted Average Yield | 3.46% | |
Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 7,635,107,000 | $ 10,246,789,000 |
Unamortized Premium (Discount) | 391,644,000 | 310,695,000 |
Amortized Cost | 8,026,751,000 | 10,557,484,000 |
Allowance for Credit Losses | 0 | |
Unrealized Gain/ (Loss), net | 24,115,000 | 316,043,000 |
Fair Value | $ 8,050,866,000 | $ 10,873,527,000 |
Period- end Weighted Average Yield | 1.86% | 3.61% |
Agency-CMO | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 19,634,000 | $ 883,122,000 |
Unamortized Premium (Discount) | (19,634,000) | (467,840,000) |
Amortized Cost | 0 | 415,282,000 |
Allowance for Credit Losses | 0 | |
Unrealized Gain/ (Loss), net | 0 | 12,230,000 |
Fair Value | $ 0 | $ 427,512,000 |
Period- end Weighted Average Yield | 0.00% | 3.54% |
Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 4,561,276,000 | |
Unamortized Premium (Discount) | 75,299,000 | |
Amortized Cost | 4,636,575,000 | |
Unrealized Gain/ (Loss), net | 131,355,000 | |
Fair Value | $ 0 | $ 4,767,930,000 |
Period- end Weighted Average Yield | 3.01% | |
Marketable securities purchase commitments, fair value | 0 | $ 96,200,000 |
Non-Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | 112,549,000 | 4,464,525,000 |
Unamortized Premium (Discount) | (5,791,000) | (772,295,000) |
Amortized Cost | 106,758,000 | 3,692,230,000 |
Allowance for Credit Losses | (1,768,000) | |
Unrealized Gain/ (Loss), net | 4,593,000 | 131,244,000 |
Fair Value | $ 109,583,000 | $ 3,823,474,000 |
Period- end Weighted Average Yield | 9.40% | 5.16% |
Non-Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 790,627,000 | $ 2,340,119,000 |
Unamortized Premium (Discount) | (779,660,000) | (1,487,603,000) |
Amortized Cost | 10,967,000 | 852,516,000 |
Allowance for Credit Losses | 0 | |
Unrealized Gain/ (Loss), net | 766,000 | 103,155,000 |
Fair Value | $ 11,733,000 | $ 955,671,000 |
Period- end Weighted Average Yield | 7.83% | 6.98% |
Percentage of non-agency securities classified as variable rate | 31.80% | 37.00% |
Percentage of non-agency securities classified as fixed rate | 67.30% | 57.70% |
Percentage of non-agency securities classified as floating rate | 0.90% | 5.30% |
Unamortized premium (discount) non-accretable portion | $ 2,100,000 | |
GSE CRT | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/ Notional Balance | $ 858,244,000 | |
Unamortized Premium (Discount) | 19,945,000 | |
Amortized Cost | 878,189,000 | |
Unrealized Gain/ (Loss), net | 45,483,000 | |
Fair Value | $ 923,672,000 | |
Period- end Weighted Average Yield | 2.78% | |
Non-Agency IO | ||
Debt Securities, Available-for-sale [Line Items] | ||
Percentage of Non-Agency RMBS interest-only, principal balance | 98.80% | 56.20% |
Percentage of Non-Agency RMBS interest-only, amortized cost | 49.30% | 1.90% |
Percentage of Non-Agency RMBS interest only, fair value | 41.50% | 1.30% |
Mortgage-Backed and Credit Ri_4
Mortgage-Backed and Credit Risk Transfer Securities - Additional Information (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Debt Securities, Available-for-sale [Line Items] | |||
Allowance for credit losses | $ 1,768 | $ 0 | |
Increase (decrease) in provision for credit losses | 1,768 | $ 0 | $ 0 |
Impairment of non-agency securities | 94,100 | ||
Non-Agency CMBS | |||
Debt Securities, Available-for-sale [Line Items] | |||
Allowance for credit losses | $ 1,768 |
Mortgage-Backed and Credit Ri_5
Mortgage-Backed and Credit Risk Transfer Securities - Schedule of Fair Value of Available-for-sale Securities and Securities Accounted for under Fair Value Option by Asset Type (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Debt Securities, Available-for-sale [Line Items] | ||
Fair Value | $ 8,172,182 | $ 21,771,786 |
15 year fixed-rate | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 0 | 98,666 |
Securities under Fair Value Option | 0 | 193,748 |
Fair Value | 292,414 | |
30 year fixed-rate | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 0 | 754,590 |
Securities under Fair Value Option | 8,050,866 | 9,769,630 |
Fair Value | 8,050,866 | 10,524,220 |
Hybrid ARM | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 0 | 31,522 |
Securities under Fair Value Option | 0 | 25,371 |
Fair Value | 56,893 | |
Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 0 | 884,778 |
Securities under Fair Value Option | 8,050,866 | 9,988,749 |
Fair Value | 8,050,866 | 10,873,527 |
Agency-CMO | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 0 | 146,733 |
Securities under Fair Value Option | 0 | 280,779 |
Fair Value | 0 | 427,512 |
Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 0 | 0 |
Securities under Fair Value Option | 0 | 4,767,930 |
Fair Value | 0 | 4,767,930 |
Non-Agency CMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 109,583 | 2,150,991 |
Securities under Fair Value Option | 0 | 1,672,483 |
Fair Value | 109,583 | 3,823,474 |
Non-Agency RMBS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 7,267 | 715,479 |
Securities under Fair Value Option | 4,466 | 240,192 |
Fair Value | 11,733 | 955,671 |
GSE CRT | ||
Debt Securities, Available-for-sale [Line Items] | ||
Available-for-sale Securities | 0 | 507,445 |
Securities under Fair Value Option | $ 0 | 416,227 |
Fair Value | $ 923,672 | |
MBS and GSE CRT Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Percentage of MBS and GSE CRT accounted for under the fair value option | 99.00% | 80.00% |
Available-for-sale Securities | $ 116,850 | $ 4,405,426 |
Securities under Fair Value Option | 8,055,332 | 17,366,360 |
Fair Value | $ 8,167,312 | $ 21,719,190 |
Mortgage-Backed and Credit Ri_6
Mortgage-Backed and Credit Risk Transfer Securities - Components of Carrying Value of MBS and GSE CRT Portfolio (Detail) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Debt Securities, Available-for-sale [Line Items] | ||
Principal/notional balance | $ 8,557,917 | $ 23,354,075 |
Unamortized premium | 391,644 | 440,503 |
Unamortized discount | (805,085) | (2,762,302) |
Allowance for credit losses | (1,768) | 0 |
Gross unrealized gains | 34,642 | 812,106 |
Gross unrealized losses | (5,168) | (72,596) |
Fair Value | 8,172,182 | 21,771,786 |
MBS and GSE CRT Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/notional balance | 7,757,491 | 20,957,410 |
Unamortized premium | 391,644 | 440,503 |
Unamortized discount | (10,067) | (419,983) |
Allowance for credit losses | (1,768) | 0 |
Gross unrealized gains | 34,539 | 807,324 |
Gross unrealized losses | (4,527) | (66,064) |
Fair Value | 8,167,312 | 21,719,190 |
Interest-Only Securities | ||
Debt Securities, Available-for-sale [Line Items] | ||
Principal/notional balance | 800,426 | 2,396,665 |
Unamortized premium | 0 | 0 |
Unamortized discount | (795,018) | (2,342,319) |
Allowance for credit losses | 0 | 0 |
Gross unrealized gains | 103 | 4,782 |
Gross unrealized losses | (641) | (6,532) |
Fair Value | $ 4,870 | $ 52,596 |
Mortgage-Backed and Credit Ri_7
Mortgage-Backed and Credit Risk Transfer Securities - Fair Value of MBS and GSE CRTs According to Weighted Average Life Classification (Detail) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Investments, Debt and Equity Securities [Abstract] | ||
Less than one year | $ 22,112 | $ 268,536 |
Greater than one year and less than five years | 5,303,917 | 7,836,620 |
Greater than or equal to five years | 2,846,153 | 13,666,630 |
Total | $ 8,172,182 | $ 21,771,786 |
Mortgage-Backed and Credit Ri_8
Mortgage-Backed and Credit Risk Transfer Securities - Unrealized Losses and Estimated Fair Value of MBS and GSE CRT by Length of Time (Detail) $ in Thousands | Dec. 31, 2020USD ($)numberOfSecurity | Dec. 31, 2019USD ($)numberOfSecurity |
Fair Value | ||
Less than 12 Months | $ 1,526,029 | $ 2,375,171 |
12 Months or More | 1,612 | 155,270 |
Total | 1,527,641 | 2,530,441 |
Unrealized Losses | ||
Less than 12 Months | (4,965) | (58,717) |
12 Months or More | (203) | (13,879) |
Total | $ (5,168) | $ (72,596) |
Number of Securities | ||
Less than 12 Months (in securities) | numberOfSecurity | 27 | 116 |
12 Months or More (in securities) | numberOfSecurity | 7 | 34 |
Total (in securities) | numberOfSecurity | 34 | 150 |
15 year fixed-rate | ||
Fair Value | ||
Less than 12 Months | $ 957 | |
12 Months or More | 362 | |
Total | 1,319 | |
Unrealized Losses | ||
Less than 12 Months | (1) | |
12 Months or More | (3) | |
Total | $ (4) | |
Number of Securities | ||
Less than 12 Months (in securities) | numberOfSecurity | 2 | |
12 Months or More (in securities) | numberOfSecurity | 4 | |
Total (in securities) | numberOfSecurity | 6 | |
30 year fixed-rate | ||
Fair Value | ||
Less than 12 Months | $ 1,496,279 | $ 255,649 |
12 Months or More | 0 | 34,009 |
Total | 1,496,279 | 289,658 |
Unrealized Losses | ||
Less than 12 Months | (4,108) | (207) |
12 Months or More | 0 | (256) |
Total | $ (4,108) | $ (463) |
Number of Securities | ||
Less than 12 Months (in securities) | numberOfSecurity | 20 | 3 |
12 Months or More (in securities) | numberOfSecurity | 0 | 5 |
Total (in securities) | numberOfSecurity | 20 | 8 |
Hybrid ARM | ||
Fair Value | ||
Less than 12 Months | $ 434 | |
12 Months or More | 1,524 | |
Total | 1,958 | |
Unrealized Losses | ||
Less than 12 Months | (2) | |
12 Months or More | (46) | |
Total | $ (48) | |
Number of Securities | ||
Less than 12 Months (in securities) | numberOfSecurity | 1 | |
12 Months or More (in securities) | numberOfSecurity | 3 | |
Total (in securities) | numberOfSecurity | 4 | |
Agency RMBS | ||
Fair Value | ||
Less than 12 Months | $ 1,496,279 | $ 257,040 |
12 Months or More | 0 | 35,895 |
Total | 1,496,279 | 292,935 |
Unrealized Losses | ||
Less than 12 Months | (4,108) | (210) |
12 Months or More | 0 | (305) |
Total | $ (4,108) | $ (515) |
Number of Securities | ||
Less than 12 Months (in securities) | numberOfSecurity | 20 | 6 |
12 Months or More (in securities) | numberOfSecurity | 0 | 12 |
Total (in securities) | numberOfSecurity | 20 | 18 |
Fair value option, fair value | $ 271,300 | |
Fair value option, unrealized losses | 268 | |
Agency-CMO | ||
Fair Value | ||
Less than 12 Months | 67,875 | |
12 Months or More | 6,155 | |
Total | 74,030 | |
Unrealized Losses | ||
Less than 12 Months | (1,194) | |
12 Months or More | (1,513) | |
Total | $ (2,707) | |
Number of Securities | ||
Less than 12 Months (in securities) | numberOfSecurity | 15 | |
12 Months or More (in securities) | numberOfSecurity | 13 | |
Total (in securities) | numberOfSecurity | 28 | |
Agency CMBS | ||
Fair Value | ||
Less than 12 Months | $ 1,743,800 | |
12 Months or More | 0 | |
Total | 1,743,800 | |
Unrealized Losses | ||
Less than 12 Months | (50,521) | |
12 Months or More | 0 | |
Total | $ (50,521) | |
Number of Securities | ||
Less than 12 Months (in securities) | numberOfSecurity | 58 | |
12 Months or More (in securities) | numberOfSecurity | 0 | |
Total (in securities) | numberOfSecurity | 58 | |
Non-Agency CMBS | ||
Fair Value | ||
Less than 12 Months | $ 27,069 | $ 203,129 |
12 Months or More | 0 | 101,021 |
Total | 27,069 | 304,150 |
Unrealized Losses | ||
Less than 12 Months | (419) | (2,783) |
12 Months or More | 0 | (11,425) |
Total | $ (419) | $ (14,208) |
Number of Securities | ||
Less than 12 Months (in securities) | numberOfSecurity | 1 | 19 |
12 Months or More (in securities) | numberOfSecurity | 0 | 7 |
Total (in securities) | numberOfSecurity | 1 | 26 |
Fair value option, fair value | $ 181,500 | |
Fair value option, unrealized losses | 2,800 | |
Non-Agency RMBS | ||
Fair Value | ||
Less than 12 Months | $ 2,681 | 26,283 |
12 Months or More | 1,612 | 12,199 |
Total | 4,293 | 38,482 |
Unrealized Losses | ||
Less than 12 Months | (438) | (3,935) |
12 Months or More | (203) | (636) |
Total | $ (641) | $ (4,571) |
Number of Securities | ||
Less than 12 Months (in securities) | numberOfSecurity | 6 | 14 |
12 Months or More (in securities) | numberOfSecurity | 7 | 2 |
Total (in securities) | numberOfSecurity | 13 | 16 |
Fair value option, fair value | $ 17,600 | |
Fair value option, unrealized losses | 261 | |
GSE CRT | ||
Fair Value | ||
Less than 12 Months | 77,044 | |
12 Months or More | 0 | |
Total | 77,044 | |
Unrealized Losses | ||
Less than 12 Months | (74) | |
12 Months or More | 0 | |
Total | $ (74) | |
Number of Securities | ||
Less than 12 Months (in securities) | numberOfSecurity | 4 | |
12 Months or More (in securities) | numberOfSecurity | 0 | |
Total (in securities) | numberOfSecurity | 4 | |
Agency IO | ||
Number of Securities | ||
Fair value option, fair value | $ 11,100 | |
Fair value option, unrealized losses | 2,300 | |
CMO | ||
Number of Securities | ||
Fair value option, fair value | 25,800 | |
Fair value option, unrealized losses | 134 | |
Non-Agency IO | ||
Number of Securities | ||
Fair value option, fair value | 8,500 | |
Fair value option, unrealized losses | $ 3,700 |
Mortgage-Backed and Credit Ri_9
Mortgage-Backed and Credit Risk Transfer Securities - Roll-forward of Allowance For Credit Losses (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward] | |||
Beginning allowance for credit losses | $ 0 | ||
Additions to the allowance for credit losses on securities for which credit losses were not previously recorded | (1,768) | $ 0 | $ 0 |
Ending allowance for credit losses | $ 1,768 | $ 0 |
Mortgage-Backed and Credit R_10
Mortgage-Backed and Credit Risk Transfer Securities - OTTI included in earnings (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Debt Securities, Available-for-sale [Line Items] | |||
Other-than-temporary credit impairment losses | $ 0 | $ 7,731 | $ 7,846 |
RMBS interest-only securities | |||
Debt Securities, Available-for-sale [Line Items] | |||
Other-than-temporary credit impairment losses | 6,707 | 7,761 | |
Non-Agency RMBS | |||
Debt Securities, Available-for-sale [Line Items] | |||
Other-than-temporary credit impairment losses | $ 1,024 | $ 85 |
Mortgage-Backed and Credit R_11
Mortgage-Backed and Credit Risk Transfer Securities - Realized Gain (Loss) on Investments (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Investments, Debt and Equity Securities [Abstract] | |||
Gross realized gains on sale of investments | $ 656,915 | $ 24,721 | $ 774 |
Gross realized losses on sale of investments | (1,020,696) | (16,682) | (218,910) |
Impairment of investments the Company intends to sell or more likely than not will be required to sell before recovery of amortized cost basis and other impairments | (101,138) | 0 | 0 |
Other-than-temporary impairment losses | 0 | (7,731) | (7,846) |
Net unrealized gains (losses) on MBS and GSE CRT accounted for under the fair value option | (492,047) | 624,158 | (101,697) |
Net unrealized gains (losses) on commercial loan and loan participation interest | (1,164) | 0 | 0 |
Realized loss on loan participation interest | (3,808) | 0 | 0 |
Net unrealized gains (losses) on trading securities | 0 | 0 | (21) |
Total gain (loss) on investments, net | $ (961,938) | $ 624,466 | $ (327,700) |
Mortgage-Backed and Credit R_12
Mortgage-Backed and Credit Risk Transfer Securities - Components of MBS and GSE CRT Interest Income (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Debt Securities, Available-for-sale [Line Items] | |||
Coupon interest associated with embedded derivatives not accounted for under fair value option | $ 6,300 | $ 20,800 | $ 22,500 |
Net (Premium Amortization)/ Discount Accretion | (15,980) | (46,243) | (42,608) |
Interest Income | 277,400 | 772,657 | 631,478 |
Agency RMBS | |||
Debt Securities, Available-for-sale [Line Items] | |||
Coupon Interest | 161,845 | 488,650 | 441,757 |
Net (Premium Amortization)/ Discount Accretion | (32,737) | (76,676) | (80,750) |
Interest Income | 129,108 | 411,974 | 361,007 |
Agency CMBS | |||
Debt Securities, Available-for-sale [Line Items] | |||
Coupon Interest | 35,822 | 88,462 | 10,546 |
Net (Premium Amortization)/ Discount Accretion | (1,744) | (4,712) | (591) |
Interest Income | 34,078 | 83,750 | 9,955 |
Non-Agency CMBS | |||
Debt Securities, Available-for-sale [Line Items] | |||
Coupon Interest | 76,068 | 163,326 | 151,562 |
Net (Premium Amortization)/ Discount Accretion | 14,721 | 15,347 | 6,682 |
Interest Income | 90,789 | 178,673 | 158,244 |
Non-Agency RMBS | |||
Debt Securities, Available-for-sale [Line Items] | |||
Coupon Interest | 13,895 | 52,857 | 55,116 |
Net (Premium Amortization)/ Discount Accretion | 1,107 | 13,164 | 19,968 |
Interest Income | 15,002 | 66,021 | 75,084 |
GSE CRT | |||
Debt Securities, Available-for-sale [Line Items] | |||
Coupon Interest | 10,232 | 37,032 | 29,142 |
Net (Premium Amortization)/ Discount Accretion | (2,560) | (7,842) | (3,071) |
Interest Income | 7,672 | 29,190 | 26,071 |
Other | |||
Debt Securities, Available-for-sale [Line Items] | |||
Coupon Interest | 751 | 3,049 | 1,117 |
Net (Premium Amortization)/ Discount Accretion | 0 | 0 | 0 |
Interest Income | 751 | 3,049 | 1,117 |
MBS and GSE CRT Securities | |||
Debt Securities, Available-for-sale [Line Items] | |||
Coupon Interest | 298,613 | 833,376 | 689,240 |
Net (Premium Amortization)/ Discount Accretion | (21,213) | (60,719) | (57,762) |
Interest Income | 277,400 | 772,657 | 631,478 |
Not Designated as Hedging Instrument | |||
Debt Securities, Available-for-sale [Line Items] | |||
Coupon interest associated with embedded derivatives not accounted for under fair value option | 8,047 | 35,840 | (20,015) |
Embedded Credit Derivative | Not Designated as Hedging Instrument | |||
Debt Securities, Available-for-sale [Line Items] | |||
Coupon interest associated with embedded derivatives not accounted for under fair value option | $ 6,323 | $ 20,833 | $ 22,478 |
Other Assets - Schedule of Othe
Other Assets - Schedule of Other Assets (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Deferred Costs, Capitalized, Prepaid, and Other Assets Disclosure [Abstract] | ||
FHLBI stock | $ 0 | $ 74,250 |
Loan participation interest | 0 | 44,654 |
Commercial loan, held-for-investment | 23,098 | 24,055 |
Investments in unconsolidated ventures | 16,408 | 21,998 |
Prepaid expenses and other assets | 1,657 | 1,223 |
Total | $ 41,163 | $ 166,180 |
Other Assets - Additional Infor
Other Assets - Additional Information (Details) - USD ($) $ in Millions | Apr. 01, 2020 | Dec. 31, 2020 | Dec. 31, 2019 |
Loans and Leases Receivable Disclosure [Line Items] | |||
Gain (Loss) on Sale of Financing Receivable | $ 3.8 | ||
Loan Participation Interest | |||
Loans and Leases Receivable Disclosure [Line Items] | |||
Proceeds from Sale of Loans Receivable | $ 21.6 | ||
Loan receivable, weighted average asset yield rate | 5.82% | ||
Commercial loan | |||
Loans and Leases Receivable Disclosure [Line Items] | |||
Unrealized losses | $ 1.2 | ||
Commercial | |||
Loans and Leases Receivable Disclosure [Line Items] | |||
Weighted average coupon rate | 8.65% | 10.19% |
Borrowings - Schedule of Borrow
Borrowings - Schedule of Borrowings (Detail) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Repurchase Agreements | ||
Amount Outstanding | $ 17,532,303 | |
Weighted Average Interest Rate | 2.11% | |
Weighted Average Remaining Maturity (days) | 39 days | |
Secured Loans: | ||
Secured Loans, Amount Outstanding | $ 0 | $ 1,650,000 |
Secured Debt, Excluding Asset-backed Securities | ||
Total Borrowings | ||
Total borrowings, amount outstanding | $ 7,228,699 | $ 19,182,303 |
Total borrowings, weighted average interest rate | 0.21% | 2.09% |
Total borrowings, weighted average remaining maturity (days) | 14 days | 172 days |
Agency RMBS | ||
Repurchase Agreements | ||
Amount Outstanding | $ 7,228,699 | $ 9,666,964 |
Weighted Average Interest Rate | 0.21% | 1.95% |
Weighted Average Remaining Maturity (days) | 14 days | 46 days |
Agency CMBS | ||
Repurchase Agreements | ||
Amount Outstanding | $ 4,246,359 | |
Weighted Average Interest Rate | 1.95% | |
Weighted Average Remaining Maturity (days) | 43 days | |
Non-Agency CMBS | ||
Repurchase Agreements | ||
Amount Outstanding | $ 2,041,968 | |
Weighted Average Interest Rate | 2.71% | |
Weighted Average Remaining Maturity (days) | 14 days | |
Non-Agency RMBS | ||
Repurchase Agreements | ||
Amount Outstanding | $ 790,412 | |
Weighted Average Interest Rate | 2.65% | |
Weighted Average Remaining Maturity (days) | 16 days | |
GSE CRT | ||
Repurchase Agreements | ||
Amount Outstanding | $ 753,110 | |
Weighted Average Interest Rate | 2.70% | |
Weighted Average Remaining Maturity (days) | 13 days | |
Loan Participation Interest | ||
Repurchase Agreements | ||
Amount Outstanding | $ 33,490 | |
Weighted Average Interest Rate | 3.22% | |
Weighted Average Remaining Maturity (days) | 240 days | |
Secured Loans | ||
Secured Loans: | ||
Secured Loans, Amount Outstanding | $ 1,650,000 | |
Secured Loans, Weighted Average Interest Rate | 1.93% | |
Secured Loans, Weighted Average Remaining Maturity (Days) | 1587 days |
Borrowings - Additional Informa
Borrowings - Additional Information (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Repurchase Agreement Counterparty | |||
Repurchase agreements, term | 1 month | ||
Net loss on extinguishment of debt | $ (14,742) | $ 0 | $ 26 |
Senior Exchangeable Note | |||
Repurchase Agreement Counterparty | |||
Debt retirement amount | 143,400 | ||
Repurchase price | 143,400 | ||
Net loss on extinguishment of debt | $ 26 | ||
Federal Home Loan Bank of Indianapolis | |||
Repurchase Agreement Counterparty | |||
Average outstanding borrowings from FHLBI | $ 587,100 | ||
FHLBI weighted average interest rate on advances | 1.47% |
Collateral Positions (Details)
Collateral Positions (Details) - USD ($) | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Derivative [Line Items] | ||
Repurchase Agreements | $ 7,615,635,000 | $ 19,122,295,000 |
Secured Loans | 0 | 1,898,489,000 |
Total collateral pledged | 7,860,586,000 | 21,326,959,000 |
Cash collateral held | 3,546,000 | 170,000 |
Non-cash collateral held | 4,226,000 | 181,000 |
Total collateral held | $ 7,772,000 | $ 351,000 |
Collateral ratio | 105.00% | 109.00% |
Interest Rate Swaps, Currency Forward Contracts and TBAs | ||
Derivative [Line Items] | ||
Interest rate swaps, currency forward contracts and TBA | $ 244,951,000 | $ 306,175,000 |
Repurchase Agreements | ||
Derivative [Line Items] | ||
Cash collateral held | 1,916,000 | 10,000 |
Non-cash collateral held | 4,226,000 | 181,000 |
Total collateral held | 6,142,000 | 191,000 |
Interest Rate Swaps And TBAs | ||
Derivative [Line Items] | ||
Cash collateral held | 1,630,000 | 160,000 |
Total collateral held | 1,630,000 | 160,000 |
Agency RMBS | ||
Derivative [Line Items] | ||
Repurchase Agreements | 7,614,935,000 | 10,187,555,000 |
Secured Loans | 0 | 621,471,000 |
Agency RMBS | Interest Rate Swaps, Currency Forward Contracts and TBAs | ||
Derivative [Line Items] | ||
Interest rate swaps, currency forward contracts and TBA | 0 | 189,780,000 |
Agency CMBS | ||
Derivative [Line Items] | ||
Marketable securities purchase commitments, fair value | 0 | 96,200,000 |
Repurchase Agreements | 0 | 4,446,384,000 |
Non-Agency CMBS | ||
Derivative [Line Items] | ||
Repurchase Agreements | 0 | 2,549,841,000 |
Secured Loans | 0 | 1,276,418,000 |
Non-Agency RMBS | ||
Derivative [Line Items] | ||
Repurchase Agreements | 0 | 943,176,000 |
GSE CRT | ||
Derivative [Line Items] | ||
Repurchase Agreements | 0 | 918,117,000 |
Loan Participation Interest | ||
Derivative [Line Items] | ||
Repurchase Agreements | 0 | 44,654,000 |
Total collateral pledged | 0 | 44,654,000 |
Mortgage-backed and credit risk transfer securities | ||
Derivative [Line Items] | ||
Total collateral pledged | 7,614,935,000 | 21,132,742,000 |
Cash | ||
Derivative [Line Items] | ||
Repurchase Agreements | 700,000 | 32,568,000 |
Total collateral pledged | 1,078,000 | 32,568,000 |
Cash | Interest Rate Swaps, Currency Forward Contracts and TBAs | ||
Derivative [Line Items] | ||
Interest rate swaps, currency forward contracts and TBA | 378,000 | 0 |
Restricted cash | ||
Derivative [Line Items] | ||
Secured Loans | 0 | 600,000 |
Total collateral pledged | 244,573,000 | 116,995,000 |
Restricted cash | Interest Rate Swaps, Currency Forward Contracts and TBAs | ||
Derivative [Line Items] | ||
Interest rate swaps, currency forward contracts and TBA | $ 244,573,000 | $ 116,395,000 |
Derivatives and Hedging Activ_3
Derivatives and Hedging Activities - Outstanding Interest Rate Swaptions and Derivative Instrument Information (Detail) $ in Thousands | 12 Months Ended |
Dec. 31, 2020USD ($) | |
Changes in notional amount of derivative instruments [Roll Forward] | |
Notional Amount as of December 31, 2019 | $ 14,488,077 |
Additions | 104,328,381 |
Settlement, Termination, Expiration or Exercise | (110,783,374) |
Notional Amount as of December 31, 2020 | 8,033,084 |
Interest Rate Swaps | |
Changes in notional amount of derivative instruments [Roll Forward] | |
Notional Amount as of December 31, 2019 | 14,000,000 |
Additions | 101,025,000 |
Settlement, Termination, Expiration or Exercise | (108,725,000) |
Notional Amount as of December 31, 2020 | 6,300,000 |
Currency Forward Contracts | |
Changes in notional amount of derivative instruments [Roll Forward] | |
Notional Amount as of December 31, 2019 | 23,111 |
Additions | 103,381 |
Settlement, Termination, Expiration or Exercise | (93,408) |
Notional Amount as of December 31, 2020 | 33,084 |
Credit Derivatives | |
Changes in notional amount of derivative instruments [Roll Forward] | |
Notional Amount as of December 31, 2019 | 464,966 |
Additions | 0 |
Settlement, Termination, Expiration or Exercise | (464,966) |
Notional Amount as of December 31, 2020 | 0 |
TBA Purchase Contracts | |
Changes in notional amount of derivative instruments [Roll Forward] | |
Notional Amount as of December 31, 2019 | 0 |
Additions | 8,800,000 |
Settlement, Termination, Expiration or Exercise | (7,100,000) |
Notional Amount as of December 31, 2020 | 1,700,000 |
TBA Sale Contracts | |
Changes in notional amount of derivative instruments [Roll Forward] | |
Notional Amount as of December 31, 2019 | 0 |
Additions | (5,600,000) |
Settlement, Termination, Expiration or Exercise | 5,600,000 |
Notional Amount as of December 31, 2020 | $ 0 |
Derivatives and Hedging Activ_4
Derivatives and Hedging Activities - Additional Information (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Derivative Instruments and Hedging Activities Disclosures | |||
Reclass amount as a decrease to interest expense | $ 851,050 | $ 534,755 | $ 5,277 |
Accumulated other comprehensive income | 58,605 | 288,963 | |
Notional Amount | 8,033,084 | 14,488,077 | |
Interest Rate Swaps | |||
Derivative Instruments and Hedging Activities Disclosures | |||
Reclass amount as a decrease to interest expense | 23,800 | 23,700 | $ 25,800 |
Loss to be reclassified during the next 12 months | 22,000 | ||
Notional Amount | 6,300,000 | 14,000,000 | |
Currency Forward Contracts | |||
Derivative Instruments and Hedging Activities Disclosures | |||
Notional Amount | 33,084 | 23,111 | |
Derivatives and hedging, including portion attributable to noncontrolling interest | Interest Rate Swaps | |||
Derivative Instruments and Hedging Activities Disclosures | |||
Accumulated other comprehensive income | $ 52,100 | $ 75,900 | |
Minimum | Interest Rate Swaps | |||
Derivative Instruments and Hedging Activities Disclosures | |||
Repurchase obligation maturity | 1 month | ||
Maximum | Interest Rate Swaps | |||
Derivative Instruments and Hedging Activities Disclosures | |||
Repurchase obligation maturity | 6 months |
Derivatives and Hedging Activ_5
Derivatives and Hedging Activities - Schedule of Interest Rate Swaps Outstanding (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Derivative [Line Items] | ||
Notional Amount | $ 8,033,084 | $ 14,488,077 |
Interest Rate Swaps | ||
Derivative [Line Items] | ||
Notional Amount | $ 6,300,000 | $ 14,000,000 |
Weighted Average Fixed Pay Rate | 0.41% | 1.47% |
Weighted Average Receive Rate | 0.15% | 1.79% |
Weighted Average Years to Maturity | 6 years 8 months 12 days | 5 years 2 months 12 days |
Interest Rate Swaps | 1-Month LIBOR | ||
Derivative [Line Items] | ||
Notional Amount | $ 6,300,000 | $ 10,700,000 |
Interest Rate Swaps | 3-Month LIBOR | ||
Derivative [Line Items] | ||
Notional Amount | 3,300,000 | |
Next Twelve Months | Interest Rate Swaps | ||
Derivative [Line Items] | ||
Notional Amount | $ 1,900,000 | |
Weighted Average Fixed Pay Rate | 1.67% | |
Weighted Average Receive Rate | 1.84% | |
Weighted Average Years to Maturity | 7 months 6 days | |
Year Two | Interest Rate Swaps | ||
Derivative [Line Items] | ||
Notional Amount | $ 2,500,000 | |
Weighted Average Fixed Pay Rate | 1.40% | |
Weighted Average Receive Rate | 1.77% | |
Weighted Average Years to Maturity | 1 year 3 months 18 days | |
Year Three | Interest Rate Swaps | ||
Derivative [Line Items] | ||
Notional Amount | $ 800,000 | |
Weighted Average Fixed Pay Rate | 1.53% | |
Weighted Average Receive Rate | 1.91% | |
Weighted Average Years to Maturity | 2 years 10 months 24 days | |
Year Four | Interest Rate Swaps | ||
Derivative [Line Items] | ||
Notional Amount | $ 1,000,000 | $ 2,400,000 |
Weighted Average Fixed Pay Rate | 0.16% | 1.44% |
Weighted Average Receive Rate | 0.15% | 1.72% |
Weighted Average Years to Maturity | 3 years 7 months 6 days | 3 years 10 months 24 days |
Year Five | Interest Rate Swaps | ||
Derivative [Line Items] | ||
Notional Amount | $ 1,250,000 | $ 900,000 |
Weighted Average Fixed Pay Rate | 0.23% | 1.49% |
Weighted Average Receive Rate | 0.15% | 1.76% |
Weighted Average Years to Maturity | 4 years 7 months 6 days | 4 years 9 months 18 days |
After Year Five | Interest Rate Swaps | ||
Derivative [Line Items] | ||
Notional Amount | $ 4,050,000 | $ 5,500,000 |
Weighted Average Fixed Pay Rate | 0.53% | 1.44% |
Weighted Average Receive Rate | 0.15% | 1.78% |
Weighted Average Years to Maturity | 8 years 1 month 6 days | 9 years 6 months |
Derivatives and Hedging Activ_6
Derivatives and Hedging Activities - Schedule of Credit Derivatives (Detail) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Credit Derivatives | ||
Notional Amount | $ 8,033,084 | $ 14,488,077 |
GSE CRT | Embedded Credit Derivative | ||
Credit Derivatives | ||
Fair value amount | 10,281 | |
Notional Amount | 464,966 | |
Maximum potential amount of future undiscounted payments | $ 464,966 |
Derivatives and Hedging Activ_7
Derivatives and Hedging Activities - Schedule of TBA Contracts (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Derivative [Line Items] | ||
Notional Amount | $ 8,033,084 | $ 14,488,077 |
TBA purchase contracts | ||
Derivative [Line Items] | ||
Notional Amount | 1,700,000 | $ 0 |
Implied Cost Basis | 1,772,211 | |
Implied Market Value | 1,782,104 | |
Net Carrying Value | 9,893 | |
Net TBA derivatives | ||
Derivative [Line Items] | ||
Notional Amount | 1,700,000 | |
Implied Cost Basis | 1,772,211 | |
Implied Market Value | 1,782,104 | |
Net Carrying Value | $ 9,893 |
Derivatives and Hedging Activ_8
Derivatives and Hedging Activities - Fair Value of Derivative Financial Instruments Classification on Balance Sheet (Detail) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Derivatives, Fair Value | ||
Derivative asset | $ 10,004 | $ 18,533 |
Derivative liabilities | 6,344 | 352 |
Interest Rate Swaps | ||
Derivatives, Fair Value | ||
Derivative asset | 0 | 18,533 |
Derivative liabilities | 5,537 | 0 |
Currency Forward Contracts | ||
Derivatives, Fair Value | ||
Derivative asset | 111 | 0 |
Derivative liabilities | 807 | 352 |
TBAs | ||
Derivatives, Fair Value | ||
Derivative asset | 9,893 | 0 |
Derivative liabilities | $ 0 | $ 0 |
Derivatives and Hedging Activ_9
Derivatives and Hedging Activities - Effect of Derivative Financial Instruments on Statement of Operations (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Derivative Instruments, Gain (Loss) | |||
Contractual net interest income (expense) | $ 6,300 | $ 20,800 | $ 22,500 |
Gain (loss) on derivative instruments, net | (851,050) | (534,755) | (5,277) |
Interest Rate Swaps | |||
Derivative Instruments, Gain (Loss) | |||
Gain (loss) on derivative instruments, net | (23,800) | (23,700) | (25,800) |
Not Designated as Hedging Instrument | |||
Derivative Instruments, Gain (Loss) | |||
Realized gain (loss) on derivative instruments, net | (844,577) | (597,077) | (2,830) |
Contractual net interest income (expense) | 8,047 | 35,840 | (20,015) |
Unrealized gain (loss), net | (14,520) | 26,482 | 17,568 |
Gain (loss) on derivative instruments, net | (851,050) | (534,755) | (5,277) |
Not Designated as Hedging Instrument | GSE CRT Embedded Derivatives | |||
Derivative Instruments, Gain (Loss) | |||
Realized gain (loss) on derivative instruments, net | (31,354) | 0 | 0 |
Contractual net interest income (expense) | 6,323 | 20,833 | 22,478 |
Unrealized gain (loss), net | (10,281) | (12,490) | (22,629) |
Gain (loss) on derivative instruments, net | (35,312) | 8,343 | (151) |
Not Designated as Hedging Instrument | Interest Rate Swaps | |||
Derivative Instruments, Gain (Loss) | |||
Realized gain (loss) on derivative instruments, net | (857,753) | (440,626) | 81,417 |
Contractual net interest income (expense) | 8,047 | 35,840 | (20,015) |
Unrealized gain (loss), net | (24,068) | 18,826 | 24,358 |
Gain (loss) on derivative instruments, net | (873,774) | (385,960) | 85,760 |
Not Designated as Hedging Instrument | Future Contracts | |||
Derivative Instruments, Gain (Loss) | |||
Realized gain (loss) on derivative instruments, net | (157,929) | (86,318) | |
Contractual net interest income (expense) | 0 | 0 | |
Unrealized gain (loss), net | 7,836 | (7,836) | |
Gain (loss) on derivative instruments, net | (150,093) | (94,154) | |
Not Designated as Hedging Instrument | Currency Forward Contracts | |||
Derivative Instruments, Gain (Loss) | |||
Realized gain (loss) on derivative instruments, net | (1,301) | 1,478 | 2,088 |
Contractual net interest income (expense) | 0 | 0 | 0 |
Unrealized gain (loss), net | (345) | (180) | 1,046 |
Gain (loss) on derivative instruments, net | (1,646) | $ 1,298 | 3,134 |
Not Designated as Hedging Instrument | TBAs | |||
Derivative Instruments, Gain (Loss) | |||
Realized gain (loss) on derivative instruments, net | 14,477 | (17) | |
Contractual net interest income (expense) | 0 | 0 | |
Unrealized gain (loss), net | 9,893 | 0 | |
Gain (loss) on derivative instruments, net | $ 24,370 | $ (17) |
Offsetting Assets and Liabili_3
Offsetting Assets and Liabilities - Additional Information (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Offsetting Liabilities [Line Items] | ||
Derivative liabilities | $ 6,344 | $ 352 |
Derivative assets | 10,004 | 18,533 |
Central Clearing Counterparty | ||
Offsetting Liabilities [Line Items] | ||
Derivative liabilities | $ 5,500 | |
Derivative assets | $ 18,500 |
Offsetting Assets and Liabili_4
Offsetting Assets and Liabilities - Offsetting of Derivative Assets (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Derivatives | ||
Gross amounts of recognized assets | $ 10,004 | |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | |
Net amounts of assets presented in the consolidated balance sheets | 10,004 | $ 18,533 |
Gross amounts not offset in the consolidated balance sheets, financial instruments | (111) | |
Gross amounts not offset in the consolidated balance sheets, cash collateral pledged | (1,630) | |
Net Amount | $ 8,263 |
Offsetting Assets and Liabili_5
Offsetting Assets and Liabilities - Offsetting of Derivative Liabilities (Detail) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Derivatives: | ||
Gross amounts of recognized liabilities | $ (807) | $ (352) |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheet, derivatives | (807) | (352) |
Gross amounts not offset in the consolidated balance sheets, financial instruments | 111 | 0 |
Gross amounts not offset in the consolidated balance sheets, cash collateral pledged | 610 | 320 |
Net Amount | (86) | (32) |
Repurchase Agreements: | ||
Gross amounts of recognized liabilities | (7,228,699) | (17,532,303) |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | 0 |
Net amounts of liabilities presented in the consolidated balance sheets | (7,228,699) | (17,532,303) |
Gross amounts not offset in the consolidated balance sheets, financial instruments | 7,228,699 | 17,532,303 |
Gross amounts not offset in the consolidated balance sheets, cash collateral pledged | 0 | 0 |
Net Amount | 0 | 0 |
Secured Loans: | ||
Gross amounts of recognized liabilities | (1,650,000) | |
Gross Amounts Offset in the Consolidated Balance Sheets | 0 | |
Net amounts of liabilities presented in the consolidated balance sheets | (1,650,000) | |
Gross amounts not offset in the consolidated balance sheets, financial instruments | 1,650,000 | |
Gross amounts not offset in the consolidated balance sheets, cash collateral pledged | 0 | |
Net Amount | 0 | |
Total gross amount of recognized liabilities | (7,229,506) | (19,182,655) |
Total gross amounts offset in the consolidated balance sheets | 0 | 0 |
Net amounts of assets presented in the consolidated balance sheets | (7,229,506) | (19,182,655) |
Total financial instruments | 7,228,810 | 19,182,303 |
Total collateral received | 610 | 320 |
Total net amount | (86) | (32) |
Cash collateral pledged on derivatives | 245,000 | 116,400 |
Cash collateral received | 3,546 | 170 |
Securities sold under agreements to repurchase fair value of collateral | 7,615,635 | 19,122,295 |
Restricted cash | ||
Secured Loans: | ||
Collateral pledged against secured loans | 600 | |
Centrally Cleared Interest Rate Swaps | ||
Secured Loans: | ||
Fair value of securities pledged against derivatives | 189,800 | |
Interest Rate Swaps | ||
Secured Loans: | ||
Cash collateral received | 1,600 | 160 |
Repurchase Agreements | ||
Secured Loans: | ||
Cash collateral received | 1,916 | 10 |
I A S Services L L C | ||
Secured Loans: | ||
Collateral pledged against secured loans | 1,900,000 | |
Cash | ||
Secured Loans: | ||
Securities sold under agreements to repurchase fair value of collateral | $ 700 | $ 32,568 |
Fair Value of Financial Instr_3
Fair Value of Financial Instruments - Fair Values Measured on Recurring Basis (Detail) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage-backed and credit risk transfer securities | $ 8,172,182 | $ 21,771,786 |
Derivative assets | 10,004 | 18,533 |
Derivative liabilities | $ 6,344 | $ 352 |
Weighted average remaining term of investments in unconsolidated ventures | 1 year 6 months | 2 years 2 months 12 days |
Loan participation interest | $ 0 | $ 44,654 |
Commercial loan | 23,098 | |
Level 3 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Fair value amount | 10,281 | |
Recurring | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage-backed and credit risk transfer securities | 8,172,182 | 21,771,786 |
Derivative assets | 10,004 | 18,533 |
Other assets, at fair value | 39,506 | 66,652 |
Total assets | 8,221,692 | 21,856,971 |
Derivative liabilities | 6,344 | 352 |
Total liabilities | 6,344 | 352 |
Recurring | Level 1 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage-backed and credit risk transfer securities | 0 | 0 |
Derivative assets | 0 | 0 |
Other assets, at fair value | 0 | 0 |
Total assets | 0 | 0 |
Derivative liabilities | 0 | 0 |
Total liabilities | 0 | 0 |
Recurring | Level 2 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage-backed and credit risk transfer securities | 8,172,182 | 21,761,505 |
Derivative assets | 10,004 | 18,533 |
Other assets, at fair value | 0 | 0 |
Total assets | 8,182,186 | 21,780,038 |
Derivative liabilities | 6,344 | 352 |
Total liabilities | 6,344 | 352 |
Recurring | Level 3 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Mortgage-backed and credit risk transfer securities | 0 | 10,281 |
Derivative assets | 0 | 0 |
Other assets, at fair value | 23,098 | 44,654 |
Total assets | 23,098 | 54,935 |
Derivative liabilities | 0 | 0 |
Total liabilities | 0 | 0 |
Recurring | NAV as a practical expedient | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
NAV as a practical expedient | $ 16,408 | 21,998 |
Mortgage-Backed and Credit Risk Transfer Securities, at Fair Value | Recurring | Level 3 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Embedded derivatives at fair value | 10,300 | |
Fair value amount | 19,500 | |
Embedded derivative liability | $ (9,200) |
Fair Value of Financial Instr_4
Fair Value of Financial Instruments - Net Derivative Asset (Liability) Level 3 Roll Forward (Detail) - Embedded Credit Derivative - GSE CRT - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Beginning balance | $ 10,281 | $ 22,771 |
Sales and settlements | 31,354 | 0 |
Realized credit derivative gains (losses), net | (31,354) | 0 |
Unrealized credit derivative gains (losses), net | (10,281) | (12,490) |
Ending balance | $ 0 | 10,281 |
Unrealized gains (losses) attributable to assets still held | $ (12,500) |
Fair Value of Financial Instr_5
Fair Value of Financial Instruments - Loan participation interest Level 3 Roll Forward (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Loan Participation Interest | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Beginning balance | $ 44,654 | $ 54,981 | |
Purchases/Advances | 0 | 7,962 | |
Repayments | (19,269) | (18,289) | |
Sales | (21,577) | 0 | |
Realized losses | (3,808) | $ 0 | |
Ending balance | 0 | 44,654 | $ 54,981 |
Commercial loan | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Beginning balance | 24,055 | ||
Repayments | (136) | ||
Unrealized losses | (1,163) | ||
Ending balance | 23,098 | 24,055 | |
Commercial loan | Cumulative Effect, Period of Adoption, Adjustment | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Beginning balance | $ 342 | ||
Ending balance | $ 342 |
Fair Value of Financial Instr_6
Fair Value of Financial Instruments - Quantitative Information About Level 3 Fair Value Measurements (Detail) - Level 3 $ in Thousands | 12 Months Ended |
Dec. 31, 2019USD ($) | |
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation | |
Embedded derivative, fair value of embedded derivative asset | $ 10,281 |
Minimum | |
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation | |
Embedded derivative asset measurement input term | 1 year 1 month 6 days |
Maximum | |
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation | |
Embedded derivative asset measurement input term | 4 years 2 months 12 days |
Weighted Average | |
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation | |
Embedded derivative asset measurement input term | 2 years 10 months 24 days |
Fair Value of Financial Instr_7
Fair Value of Financial Instruments - Schedule of Fair Value Measurement of Commercial Loan (Details) $ in Thousands | Dec. 31, 2020USD ($) |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |
Commercial loan | $ 23,098 |
Measurement Input, Discount Rate | Level 3 | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |
Loan Receivable Measurement Input | 29.90% |
Fair Value of Financial Instr_8
Fair Value of Financial Instruments - Carrying Value and Estimated Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
FHLBI stock | $ 0 | $ 74,250 |
Carrying Value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Mortgage loans, held-for-investment | 24,055 | |
FHLBI stock | 0 | 74,250 |
Total | 98,305 | |
Repurchase agreements | 7,228,699 | 17,532,303 |
Secured loans | 0 | 1,650,000 |
Total | 7,228,699 | 19,182,303 |
Estimated Fair Value | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||
Mortgage loans, held-for-investment | 24,397 | |
FHLBI stock | 0 | 74,250 |
Total | 98,647 | |
Repurchase agreements | 7,228,719 | 17,534,344 |
Secured loans | 0 | 1,650,000 |
Total | $ 7,228,719 | $ 19,184,344 |
Related Party Transactions - Ad
Related Party Transactions - Additional Information (Detail) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Related Party Transaction | |||
Expenses from transactions with related party | $ 29,367 | $ 38,173 | $ 40,722 |
Investment in money market or mutual funds managed by affiliates of a related party | 148,011 | 172,507 | |
Proceeds from sale of mortgage-backed and credit risk transfer securities | $ 25,028,464 | 3,311,884 | 4,749,807 |
Management | |||
Related Party Transaction | |||
Fee paid by company to manager as percentage of company's shareholders' equity | 1.50% | ||
Termination fee multiplier | 3 | ||
Termination fees assessment period | 24 months | ||
Invesco Advisers, Inc. | Affiliated Entity | |||
Related Party Transaction | |||
Expenses from transactions with related party | $ 968 | 888 | $ 779 |
Investment in money market or mutual funds managed by affiliates of a related party | 1,900 | $ 154,000 | |
Invesco Advisers, Inc. | Affiliated Entity | Non-Agency CMBS | |||
Related Party Transaction | |||
Proceeds from sale of mortgage-backed and credit risk transfer securities | 40,000 | ||
Realized gain | $ 4,100 |
Related Party Transactions - Sc
Related Party Transactions - Schedule of Related Party Transactions (Details) - Management - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Related Party Transaction | |||
Amounts of transaction with related party | $ 11,084 | $ 8,293 | $ 6,713 |
Incurred costs, prepaid or expensed | |||
Related Party Transaction | |||
Amounts of transaction with related party | 10,845 | 7,343 | 6,483 |
Incurred costs, charged against equity as a cost of raising capital | |||
Related Party Transaction | |||
Amounts of transaction with related party | $ 239 | $ 950 | $ 230 |
Stockholders' Equity - Addition
Stockholders' Equity - Additional Information (Detail) - USD ($) $ / shares in Units, $ in Thousands | Jun. 30, 2020 | May 09, 2020 | Nov. 30, 2018 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 |
Class of Stock [Line Items] | ||||||
Repurchase of shares of common stock (in shares) | 75,100 | |||||
Common stock dividend percentage of cash limit | 10.00% | |||||
Common stock dividends | $ (8,200) | $ (37,202) | $ (252,071) | $ (187,537) | ||
Common stock dividends (in shares) | 16,338,511 | |||||
Payments of ordinary dividends, common stock | $ 8,200 | |||||
Common stock dividends shares calculation base (in USD per share) | $ 4.5435 | |||||
Series A Cumulative Redeemable Preferred Stock | ||||||
Class of Stock [Line Items] | ||||||
Preferred stock, percentage rate | 7.75% | |||||
Preferred stock, liquidation preference (in USD per share) | $ 25 | |||||
Preferred stock, price per share per annum | 1.9375 | |||||
Series B Cumulative Redeemable Preferred Stock | ||||||
Class of Stock [Line Items] | ||||||
Preferred stock, price per share per annum | $ 1.9375 | |||||
Preferred stock dividend rate | 7.75% | |||||
Preferred stock redemption price (in USD per share) | $ 25 | |||||
Series B Cumulative Redeemable Preferred Stock | LIBOR | ||||||
Class of Stock [Line Items] | ||||||
Preferred stock dividends basis spread on variable rate | 5.18% | |||||
Series C Cumulative Redeemable Preferred Stock | ||||||
Class of Stock [Line Items] | ||||||
Preferred stock, liquidation preference (in USD per share) | $ 25 | |||||
Preferred stock, price per share per annum | $ 1.875 | |||||
Preferred stock dividend rate | 7.50% | |||||
Preferred stock redemption price (in USD per share) | $ 25 | |||||
Series C Cumulative Redeemable Preferred Stock | LIBOR | ||||||
Class of Stock [Line Items] | ||||||
Preferred stock dividends basis spread on variable rate | 5.289% | |||||
Preferred Stock | Equity Distribution Agreement | ||||||
Class of Stock [Line Items] | ||||||
Equity distribution agreement, number of shares to sell | 7,000,000 | |||||
Common Stock | ||||||
Class of Stock [Line Items] | ||||||
Number of shares authorized to be repurchased (in shares) | 18,163,982 | |||||
Common Stock | Equity Distribution Agreement | ||||||
Class of Stock [Line Items] | ||||||
Equity distribution agreement, number of shares to sell | 37,610,000 | |||||
Number of shares sold in transaction (in shares) | 21,849,740 | 2,540,260 | ||||
Proceeds from issuance of common stock | $ 73,700 | $ 40,100 | ||||
Payments of stock issuance costs | $ 1,200 | $ 846 |
Stockholders' Equity - Componen
Stockholders' Equity - Components of AOCI (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Accumulated other comprehensive income (loss) from derivative instruments: | |||
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net | $ (223,416) | $ 83,965 | $ (210,424) |
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net | 13,940 | 9,072 | 193,162 |
Reclassification of unrealized loss on available-for-sale securities to (increase) decrease in provision for credit losses | 1,768 | 0 | 0 |
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense | (23,794) | (23,729) | (25,839) |
Currency translation adjustments on investment in unconsolidated venture | 1,144 | (1,158) | (447) |
Total other comprehensive income/(loss), net | (230,358) | 68,150 | (43,548) |
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | |||
Beginning balance | 2,931,899 | 2,286,697 | 2,656,878 |
Total other comprehensive income/(loss), net | (230,358) | 68,150 | (43,548) |
Ending balance | 1,367,158 | 2,931,899 | 2,286,697 |
Equity method investments, including portion attributable to noncontrolling interest | |||
Accumulated other comprehensive income (loss) from derivative instruments: | |||
Currency translation adjustments on investment in unconsolidated venture | 1,144 | (1,158) | |
Total other comprehensive income/(loss), net | 1,144 | (1,158) | |
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | |||
Total other comprehensive income/(loss), net | 1,144 | (1,158) | |
Available-for-sale securities, including portion attributable to noncontrolling interest | |||
Accumulated other comprehensive income (loss) from derivative instruments: | |||
Unrealized gain (loss) on mortgage-backed and credit risk transfer securities, net | (223,416) | 83,965 | |
Reclassification of unrealized (gain) loss on sale of mortgage-backed and credit risk transfer securities to gain (loss) on investments, net | 13,940 | 9,072 | |
Reclassification of unrealized loss on available-for-sale securities to (increase) decrease in provision for credit losses | 1,768 | ||
Total other comprehensive income/(loss), net | (207,708) | 93,037 | |
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | |||
Total other comprehensive income/(loss), net | (207,708) | 93,037 | |
Derivatives and hedging, including portion attributable to noncontrolling interest | |||
Accumulated other comprehensive income (loss) from derivative instruments: | |||
Reclassification of amortization of net deferred (gain) loss on de-designated interest rate swaps to repurchase agreements interest expense | (23,794) | (23,729) | |
Total other comprehensive income/(loss), net | (23,794) | (23,729) | |
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | |||
Total other comprehensive income/(loss), net | (23,794) | (23,729) | |
Equity method investment attributable to parent | |||
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | |||
Beginning balance | (645) | 513 | |
Ending balance | 499 | (645) | 513 |
Available-for-sale securities attributable to parent | |||
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | |||
Beginning balance | 213,701 | 120,664 | |
Ending balance | 5,993 | 213,701 | 120,664 |
Derivatives and hedging attributable to parent | |||
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | |||
Beginning balance | 75,907 | 99,636 | |
Ending balance | 52,113 | 75,907 | 99,636 |
AOCI attributable to parent | |||
Accumulated other comprehensive income (loss) from derivative instruments: | |||
Total other comprehensive income/(loss), net | (230,358) | 68,150 | (42,315) |
AOCI Including Portion Attributable to Noncontrolling Interest, Net of Tax [Roll Forward] | |||
Beginning balance | 288,963 | 220,813 | 261,029 |
Total other comprehensive income/(loss), net | (230,358) | 68,150 | (42,315) |
Ending balance | $ 58,605 | $ 288,963 | $ 220,813 |
Stockholders' Equity - Schedule
Stockholders' Equity - Schedule of Dividends Declared (Details) - USD ($) $ / shares in Units, $ in Thousands | 3 Months Ended | 12 Months Ended | ||||||||
Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2019 | Sep. 30, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | Dec. 31, 2020 | Dec. 31, 2019 | |
Class of Stock [Line Items] | ||||||||||
Common stock dividend declared (in USD per share) | $ 0.08 | $ 0.05 | $ 0.02 | $ 0.50 | $ 0.50 | $ 0.45 | $ 0.45 | $ 0.45 | $ 0.650000 | $ 1.850000 |
Dividends, common stock | $ 16,258 | $ 9,070 | $ 3,626 | $ 82,483 | $ 72,132 | $ 64,261 | $ 57,958 | $ 57,720 | ||
Ordinary Dividends | ||||||||||
Class of Stock [Line Items] | ||||||||||
Common stock dividend declared (in USD per share) | 0 | 0 | ||||||||
Return of Capital | ||||||||||
Class of Stock [Line Items] | ||||||||||
Common stock dividend declared (in USD per share) | 0.570000 | 1.350000 | ||||||||
Capital Gain Distribution | ||||||||||
Class of Stock [Line Items] | ||||||||||
Common stock dividend declared (in USD per share) | 0 | 0 | ||||||||
Carry Forward | ||||||||||
Class of Stock [Line Items] | ||||||||||
Common stock dividend declared (in USD per share) | 0.080000 | 0.500000 | ||||||||
Series A Preferred Stock | ||||||||||
Class of Stock [Line Items] | ||||||||||
Preferred stock dividend declared (in USD per share) | $ 0.4844 | $ 0.4844 | $ 0.4844 | $ 0.4844 | $ 0.4844 | $ 0.4844 | $ 0.4844 | $ 0.4844 | 1.937600 | 1.937600 |
Dividends, preferred stock | $ 2,713 | $ 2,713 | $ 2,712 | $ 2,713 | $ 2,712 | $ 2,713 | $ 2,712 | $ 2,713 | ||
Series A Preferred Stock | Ordinary Dividends | ||||||||||
Class of Stock [Line Items] | ||||||||||
Preferred stock dividend declared (in USD per share) | 0 | 0 | ||||||||
Series A Preferred Stock | Return of Capital | ||||||||||
Class of Stock [Line Items] | ||||||||||
Preferred stock dividend declared (in USD per share) | 1.937600 | 1.937600 | ||||||||
Series A Preferred Stock | Capital Gain Distribution | ||||||||||
Class of Stock [Line Items] | ||||||||||
Preferred stock dividend declared (in USD per share) | 0 | 0 | ||||||||
Series A Preferred Stock | Carry Forward | ||||||||||
Class of Stock [Line Items] | ||||||||||
Preferred stock dividend declared (in USD per share) | 0 | 0 | ||||||||
Series B Preferred Stock | ||||||||||
Class of Stock [Line Items] | ||||||||||
Preferred stock dividend declared (in USD per share) | $ 0.4844 | $ 0.4844 | $ 0.4844 | $ 0.4844 | $ 0.4844 | $ 0.4844 | $ 0.4844 | $ 0.4844 | 1.937600 | 1.937600 |
Dividends, preferred stock | $ 3,003 | $ 3,003 | $ 3,004 | $ 3,003 | $ 3,003 | $ 3,003 | $ 3,004 | $ 3,003 | ||
Series B Preferred Stock | Ordinary Dividends | ||||||||||
Class of Stock [Line Items] | ||||||||||
Preferred stock dividend declared (in USD per share) | 0 | 0 | ||||||||
Series B Preferred Stock | Return of Capital | ||||||||||
Class of Stock [Line Items] | ||||||||||
Preferred stock dividend declared (in USD per share) | 1.937600 | 1.937600 | ||||||||
Series B Preferred Stock | Capital Gain Distribution | ||||||||||
Class of Stock [Line Items] | ||||||||||
Preferred stock dividend declared (in USD per share) | 0 | 0 | ||||||||
Series B Preferred Stock | Carry Forward | ||||||||||
Class of Stock [Line Items] | ||||||||||
Preferred stock dividend declared (in USD per share) | 0 | 0 | ||||||||
Series C Preferred Stock | ||||||||||
Class of Stock [Line Items] | ||||||||||
Preferred stock dividend declared (in USD per share) | $ 0.46875 | $ 0.46875 | $ 0.46875 | $ 0.46875 | $ 0.46875 | $ 0.46875 | $ 0.46875 | $ 0.46875 | 1.875000 | 1.875000 |
Dividends, preferred stock | $ 5,391 | $ 5,391 | $ 5,390 | $ 5,391 | $ 5,391 | $ 5,391 | $ 5,390 | $ 5,391 | ||
Series C Preferred Stock | Ordinary Dividends | ||||||||||
Class of Stock [Line Items] | ||||||||||
Preferred stock dividend declared (in USD per share) | 0 | 0 | ||||||||
Series C Preferred Stock | Return of Capital | ||||||||||
Class of Stock [Line Items] | ||||||||||
Preferred stock dividend declared (in USD per share) | 1.875000 | 1.875000 | ||||||||
Series C Preferred Stock | Capital Gain Distribution | ||||||||||
Class of Stock [Line Items] | ||||||||||
Preferred stock dividend declared (in USD per share) | 0 | 0 | ||||||||
Series C Preferred Stock | Carry Forward | ||||||||||
Class of Stock [Line Items] | ||||||||||
Preferred stock dividend declared (in USD per share) | $ 0 | $ 0 |
Earnings per Common Share (Deta
Earnings per Common Share (Detail) - USD ($) $ / shares in Units, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Basic Earnings: | |||
Net income (loss) available to common stockholders | $ (1,718,778) | $ 319,675 | $ (115,216) |
Basic Earnings: | |||
Shares available to common stockholders (in shares) | 173,730,389 | 132,305,568 | 111,637,035 |
Effect of dilutive securities: | |||
Restricted stock awards (in shares) | 0 | 12,000 | |
Dilutive Shares (in shares) | 173,730,389 | 132,317,853 | 111,637,035 |
Earnings (loss) per share: | |||
Basic (in usd per share) | $ (9.89) | $ 2.42 | $ (1.03) |
Diluted (in usd per share) | $ (9.89) | $ 2.42 | $ (1.03) |
Non-controlling interest | |||
Antidilutive Securities Excluded from Computation of Earnings Per Share | |||
Potential common shares excluded from diluted earnings per common share (in shares) | 1,300,068 | ||
Restricted Stock Units (RSUs) | |||
Antidilutive Securities Excluded from Computation of Earnings Per Share | |||
Potential common shares excluded from diluted earnings per common share (in shares) | 11,017 | 14,404 | |
Exchangeable Senior Notes | |||
Antidilutive Securities Excluded from Computation of Earnings Per Share | |||
Potential common shares excluded from diluted earnings per common share (in shares) | 1,184,373 |
Non-controlling Interest - Op_3
Non-controlling Interest - Operating Partnership - Additional Information (Detail) - USD ($) $ in Thousands | Nov. 30, 2018 | Dec. 31, 2018 | Dec. 31, 2020 |
Noncontrolling Interest [Line Items] | |||
Purchase of Operating Partnership units from non-controlling interest | $ 21,800 | ||
Repurchase of shares of common stock (in shares) | 75,100 | ||
Repurchase of shares of common stock | $ 1,100 | $ 1,144 | |
Operating Partnership | |||
Noncontrolling Interest [Line Items] | |||
Ownership percentage in operating partnership | 1.30% |
Non-controlling Interest - Op_4
Non-controlling Interest - Operating Partnership - Schedule of Changes in Net Income (Loss) attributable to Noncontrolling Interest (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Noncontrolling Interest [Line Items] | |||
Net income (loss) attributable to Invesco Mortgage Capital Inc. | $ (1,674,352) | $ 364,101 | $ (70,790) |
Operating Partnership | |||
Noncontrolling Interest [Line Items] | |||
Net income (loss) attributable to Invesco Mortgage Capital Inc. | (70,790) | ||
Net transfers from non-controlling interest | (798) | ||
Change from net income (loss) attributable to Invesco Mortgage Capital Inc. common stockholders and transfers (to) from non-controlling interest | $ (71,588) |
Non-controlling Interest - Op_5
Non-controlling Interest - Operating Partnership - Schedule of Net Income (Loss) Allocated and Distribution Paid (Details) - Non-Controlling Interest $ in Thousands | 12 Months Ended |
Dec. 31, 2018USD ($) | |
Noncontrolling Interest [Line Items] | |
Net income (loss) allocated | $ 254 |
Distributions paid | $ 2,394 |
Commitments and Contingencies (
Commitments and Contingencies (Details) $ in Millions | Dec. 31, 2020USD ($) |
Commitments and Contingencies Disclosure [Abstract] | |
Undrawn capital and purchase commitments for unconsolidated ventures sponsored by an affiliate | $ 6.8 |
Subsequent Events (Details)
Subsequent Events (Details) - USD ($) $ / shares in Units, $ in Millions | Feb. 19, 2021 | Feb. 04, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Mar. 31, 2020 | Dec. 31, 2019 | Sep. 30, 2019 | Jun. 30, 2019 | Mar. 31, 2019 | Dec. 31, 2020 | Dec. 31, 2019 |
Series A Preferred Stock | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Preferred stock, dividends (in USD per share) | $ 0.4844 | $ 0.4844 | $ 0.4844 | $ 0.4844 | $ 0.4844 | $ 0.4844 | $ 0.4844 | $ 0.4844 | $ 1.937600 | $ 1.937600 | ||
Series B Preferred Stock | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Preferred stock, dividends (in USD per share) | 0.4844 | 0.4844 | 0.4844 | 0.4844 | 0.4844 | 0.4844 | 0.4844 | 0.4844 | 1.937600 | 1.937600 | ||
Series C Preferred Stock | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Preferred stock, dividends (in USD per share) | $ 0.46875 | $ 0.46875 | $ 0.46875 | $ 0.46875 | $ 0.46875 | $ 0.46875 | $ 0.46875 | $ 0.46875 | $ 1.875000 | $ 1.875000 | ||
Subsequent Event | Common Stock | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Number of shares sold in transaction (in shares) | 27,600,000 | |||||||||||
Sale of stock, price (in USD per share) | $ 3.75 | |||||||||||
Proceeds from issuance of common stock | $ 103.1 | |||||||||||
Subsequent Event | Series A Preferred Stock | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Preferred stock, dividends (in USD per share) | $ 0.4844 | |||||||||||
Subsequent Event | Series B Preferred Stock | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Preferred stock, dividends (in USD per share) | 0.4844 | |||||||||||
Subsequent Event | Series C Preferred Stock | ||||||||||||
Subsequent Event [Line Items] | ||||||||||||
Preferred stock, dividends (in USD per share) | $ 0.46875 |
Schedule IV Mortgage Loans on_2
Schedule IV Mortgage Loans on Real Estate (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2020 | |
Mortgage Loans on Real Estate | ||||
Carrying Amount of Mortgages | $ 23,098 | $ 31,582 | $ 31,582 | $ 23,098 |
Federal income tax basis of mortgage loan | 23,900 | |||
Reconciliation of Carrying Value of Mortgage Loans on Real Estate: | ||||
Beginning balance | 24,055 | 31,582 | 191,808 | |
Additions: | ||||
Originations and purchases of new loans | 0 | 0 | 1,677 | |
Amortization of commercial loan origination fees and premium (discount) | 0 | 0 | 91 | |
Deductions: | ||||
Collection of principal | 136 | 7,527 | 160,934 | |
Unrealized loss, net | 821 | 0 | 0 | |
Loss on foreign currency revaluation | 0 | 0 | 1,060 | |
Ending balance | 23,098 | $ 24,055 | $ 31,582 | |
Mezzanine Loan | ||||
Mortgage Loans on Real Estate | ||||
Face Amount of Mortgages | 23,919 | |||
Carrying Amount of Mortgages | 23,098 | 23,098 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | 0 | |||
Deductions: | ||||
Ending balance | 23,098 | |||
TEXAS | Hotel | Mezzanine Loan | ||||
Mortgage Loans on Real Estate | ||||
Face Amount of Mortgages | 23,919 | |||
Carrying Amount of Mortgages | 23,098 | 23,098 | ||
Principal Amount of Loans Subject to Delinquent Principal or Interest | $ 0 | |||
Deductions: | ||||
Ending balance | $ 23,098 | |||
LIBOR | TEXAS | Hotel | Mezzanine Loan | ||||
Mortgage Loans on Real Estate | ||||
Percentage over base rate | 8.50% |